A font generator swaps each letter you type for a look-alike character from the Unicode standard, so "Hello" becomes 𝐇𝐞𝐥𝐥𝐨 or ℋℯ𝓁𝓁ℴ and pastes anywhere as normal text. Your actual font never changes. You're trading one character for another that happens to look styled.
Unicode is the shared character list that every modern phone and computer agrees on. Tucked inside it are about 1,000 letters made for math formulas: bold, italic, script, gothic, double-struck. They were added in 2001 so scientists could write equations. Bio writers found them later.
Here's how the swap works. When you type H, the tool looks up its bold twin, 𝐇 (code U+1D407), and drops it in. Every style on this page is a lookup table like that, covering 26 lowercase letters, 26 capitals and, for some styles, 10 digits.