What actually happens

On a cached page, WordPress never runs. The request reaches advanced-cache.php, which reads a small settings file, works out the cache key, finds the file and sends it. No database connection, no plugins, no theme.

On an uncached page, WordPress runs as normal and the finished HTML is caught on the way out and written to disk — atomically, to a temporary name and then renamed, so nobody can ever be served half a page.

Feeds and XML sitemaps are cached the same way, and a cached copy goes back as the feed or sitemap it was — not labelled as a web page.