I can be wrong, but I believe the documentation doesn't mention threading because... it doesn't use any!

which means it's happening on the same thread as loop then, correct?

If I understood correctly event handling in Processing, events like keyPressed(), mouseReleased() and such are treated in callback but queued. The public events are then called between two calls of draw(). But everything is in the same thread, AFAIK. Note that if there is no draw() routine in the sketch, these event callbacks are not called!