i'm curious too.
I **think** it works because you're pre-loading their info into your database (or it's already there), and you're sending them a unique url - so as they visit their PURL, the info in the database is loaded as the cookie is downloaded.
It's the same way an email to a new lead with a "first name" token will work, even if that lead has not been cookied yet. you're just asking Marketo to pull that info from the database.