It's the "As a Service" magic. You will not find specific documentation on the way it's working. However, you can easily guess that storage (for managing the virtual disks of the VM), network (to connect your different resources together), and much more depending on the settings you've chosen - will be created in order to be able to use a virtual machine.
If I'm taking the example of a virtual machine that would be created in Azure - when you're creating a new resource, you will see during the creation's process the details of all the connected and required components that will be provisioned too.
In this example, we can for example see that I've created a virtual machine but I can see that a resource group, a virtual network, a network security group, a storage account, subnet, ... - will also be created during this process.