It looks like the video loads and starts playing in some kind of in-app browser, but there is just full-screen video and nothing else. I also never faced any ads in this "mode" of playing a video, yet recently some strange things started happening where the playback would start together with an audio-track from the advertisement. The video itself would start playing but the sound would be replaced with the sound from ad which seemed very odd and much like a bug, only when advertisement audio track ends it will be replaced with audio track from the video itself.
I'm genuinely curious how is the whole playback process different when I watch a video from the Telegram preview, can I somehow achieve the same "just fullscreen video" kind of playback on the desktop as well? Does anyone have any insight?