It's using this: https://yew.rs/docs/concepts/html and no, just like JSX, it's not HTML strings. It's building HTML-like AST in macro.
One great thing about JSX (and Yew) is that it's way more secure way to build an HTML, because you don't need to worry about escaping behaviors as much. (Sometimes you still need, like injecting inline CSS etc. but not that often)