If I interact with a Lemmy post via Wefwef, will it go to wefwef.app domain first and then to Lemmy or will it pass the request directly from my phone to the Lemmy Instance (s)?
Not true in all cases. Due to how the web security model works, unlike a native app, a web app running on wefwef.app cannot randomly access other domains. This includes contacting lemmy instances. This is the reason why they implement a proxy (see code here). From what I understand newer lemmy server versions do (or will soon) implement CORS which is a mechanism that obsoletes the requirement for a proxy and allows direct communication between web app and instance.