Currently, your Apple Watch learns about calories you burn by applying some math magic to your heart rate readings and values obtained from its sensors.
The method provides reasonably accurate estimates of resting/active calories. However, even more precise calorie-burning readings could come soon if Apple decides to enable the hardware feature which can reportedly measure oxygen levels in your blood.
As an iFixit teardown has identified, the Apple Watch heart rate sensor has onboard hardware for detecting blood oxygen saturation.