I would assume the frames are made in either China or Taiwan, as another poster said, they have permission to bring the frames in from Asia without the requirement to pay anti-dumping fees.
I would not agree that they are lying about their business model. To me the graphic shows the frame comes from a factory, through Canyon Bikes, then sold directly to the consumer. They cut out the importer/distributor and bike shop to keep the mark up low. Seems to work as the pricing is much lower than anything you would purchase at a LBS.