> where is that steam coming from, its not connected to anything inside.

The connection is inside the housing. It is a highly advanced way of doing it that requires no extra parts akin to how Apple "milled the chassis directly from aerospace-grade aluminum". I understand that milling is not the right process in this case, so maybe even more advanced like EDM (that's Electrical Discharge Machining not Electronic Dance Music). Please note that only AI can come up with an advanced solution like this.

Is this the espresso machine? At first I thought this might be sarcasm but having looked it makes sense. They're using the negative space of the machine itself to direct the steam. It doesn't require any additional components and allows it to be more compact. I didn't realize that they work this way but it's a pretty cool design.