You view the message on a Google server through a browser. The message body is never actually sent to the recipient's address.
"When someone sends a confidential mode message, Gmail removes the message body and any attachments from the recipient's copy of the message. These are replaced with a link to the content. Gmail clients make the linked content appear as if it's part of the message. Third-party mail clients display a link in place of the content."
From https://support.google.com/a/answer/7684332
