My first thought is that many if not all modern CPUs have a separate master CPU within it (such as Intel's Management Engine) that can run even when the PC is turned off.

It runs when your computer is asleep, while it’s booting up, and while your operating system is running. It has full access to your system hardware, including your system memory, the contents of your display, keyboard input, and even the network. https://www.howtogeek.com/334013/intel-management-engine-explained-the-tiny-computer-inside-your-cpu/

Could this be what is happening?

It makes me wonder, with all the legislation being drafting in Western nations, why no privacy laws stating manufacturers can't put embedded corporate spy devices in the devices they sell you? Strange isn't it.