.eml and .msg are formats specific to email clients. These are only created when the email is received by the client.
Emails are actually just text "files" with a specific format. First comes the header, then the body parts and attachments (in an encrypted form, mostly base 64). You can google if you want to know the exact details. In most email clients, you can also choose to view the email source to see how it lokks like.
So all Transport.send does is turn the (Mime)Message object in text and send that to the email server.