A PDF page can be any size — there's no rule that it has to match a printer's idea of A4 or Letter. The simplest way to turn a photo into a page is to make the page exactly the photo's own dimensions and place the image at full size with no scaling, which is what happens here by default: no quality lost to resizing, no cropping to fit a frame that doesn't match the photo's shape.
Combining multiple images works the same way merging PDFs does — each one becomes a page, added to a new document in the order you set, with nothing re-encoded along the way.
Everything runs in your browser. Your file is never uploaded, never queued on a server, and never deleted from one — because it was never there.