It doesn't need an app to set up over Wi-Fi, that's one advantage of this technique. It works like this:

1. Device acts as access point: either open, WPS or showing the password/QR code on screen
2. Connect phone (or computer etc. with browser) to the access point
3. The phone will try to connect to a known domain (for example http://connectivitycheck.gstatic.com/ on stock Android) to determine if the AP has Internet access. If this doesn't work, go to an HTTP-only site: http://neverssl.com/
4. The device will hijack the unencrypted HTTP request and redirect to http://192.168.1.1/setup.html or whatever (this will be detected by the phone as "captive portal" and you get a "Sign in to Wi-Fi network" notification (the phone believes it may then access the internet because some Wi-Fi hotspots do this)
5. You input your home network's credentials into the webpage so you don't have to dial them in with the volume knob and tiny buttons
6. The device disables its setup hotspot (if only one Wi-Fi radio is available) and tries to connect to the provided network (usually there's a timeout so the process restarts on failure)

This is very common, I made an ESP32 device whose setup works like this. If you need to make an open Wi-Fi network for whatever reason, you can name it "HP Deskjet Pro 4800" and it's very unlikely someone searching for public Wi-Fi will try to connect