Where does WordPress call the 404 page ?

If you click Appearance and then select theEditor option as such:

This is the file editor for your theme's actual pages - coded in a language known as PHP. It's much like HTML stuff. And, you can actually insert HTML code within PHP. WordPress is built on PHP, by the way.

Okay, so here is the code for a standard WordPress 404 . php file (using the stock theme - Twenty Thirteen)

<?php/** * The template for displaying 404 pages (Not Found) * * @package WordPress * @subpackage Twenty_Thirteen * @since Twenty Thirteen 1.0 */get_header(); ?>    <div id="primary" class="content-area">        <div id="content" class="site-content" role="main">            <header class="page-header">                <h1 class="page-title"><?php _e( 'Not Found', 'twentythirteen' ); ?></h1>            </header>            <div class="page-wrapper">                <div class="page-content">                    <h2><?php _e( 'This is somewhat embarrassing, isn't it?', 'twentythirteen' ); ?></h2>                    <p><?php _e( 'It looks like nothing was found at this location. Maybe try a search?', 'twentythirteen' ); ?></p>                    <?php get_search_form(); ?>                </div><!-- .page-content -->            </div><!-- .page-wrapper -->        </div><!-- #content -->    </div><!-- #primary --><?php get_footer(); ?>

So, at the top, you'll notice the "call" to get the header file. Then, there's a "div" for a "page" container (they call areas of a page containers.)

Anyway, on down a bit is a "div class" for the title of the page to be shown - this section here:

<h1 class="page-title"><?php _e( 'Not Found', 'twentythirteen' ); ?></h1>

So, the "Not Found" becomes the title - just like on any other page.

There is also an H2 (subtitle) located here:

<h2><?php _e( 'This is somewhat embarrassing, isn’t it?', 'twentythirteen' ); ?></h2>

Then, on down a wee bit more there is a PHP echo command that spits out the text you will see in the body of the page:

<p><?php _e( 'It looks like nothing was found at this location. Maybe try a search?', 'twentythirteen' ); ?></p>

That's the text body that is normally see for most themes.