So like, how does Lemmy work?

When I click on a post, let’s say Lemmy.World, that server sends me the page over the Internet. I get that part. But how does it do comments? Does it tell my phone to go ask lemm.ee and blahaj servers, etc, and fetch the comments?

And why does a post on lemmy.world have have a blahaj URL when I look at it? Is my server making a copy?