As long as there’s some kind of power available inside the machine (e.g. an extra SATA power connector) it can just use that and wifi.

I suspect that the Valve engineers weren’t so short sighted though and probably have all the usual headers/connectors inside the thing that a normal PC would have. For example, a USB 3 header (the kind usually used for front-panel USB ports).

If anything, the device probably has at least one extra M.2 connector and a 1x or 4x PCI express connector. With those, anything is possible.