The power being provided to the unit is just a side effect. More than likely 24vdc and a set of contacts. If you were to wire a simple toggle switch in and flip it on the heat would turn on.
I've dealt with hundreds of thermostats they all work in a similar fashion the new ones just use multiple relays with a single power wire. The old school thermostats just used bimetal contacts or clock springs with a mercury relay. Modern ones use electromechanical or solid state relays. This includes things like the nest thermostats.

