Yeah those are junk. I know, because I had a chance to put some air through some about 8 years ago. I was fooling around, but really trying to make a good sound. I'm a trumpet player, and I sounded about as good as that guy in the video. The air does go to the bag, but they are so cheaply made, containing probable air obstructions within the construction. Obviously, the reed in the chater is a joke, and I believe the drones are reed-less. So most of the pitch actually comes out of the chanter, if you can even call it a chanter...

That guy is really trying to find some pitch center, that's why it's so swirlly sounding.