They claim (tho I haven't confirmed myself) to do encryption at the device - automatically between Protonmail accounts (right now though, they do not support sending pgp encrypted email to a protonmail account with a keypair not generated by them... Which seems a _very_ odd design decision):

In simple terms, end-to-end encryption means that messages are encrypted on the sender’s device (before it even leaves their computer or mobile phone), and can only be decrypted by the recipient on their device. This means that no third party which transmits or intercepts the email between the sender and recipient (i.e. internet service providers, the NSA, or even ProtonMail as the mail server operator) can decrypt and view the message.

This powerful protection is possible because ProtonMail has PGP email encryption built-in. End-to-end encryption is done automatically without user interaction whenever messages are exchanged between ProtonMail users. For an enterprise using ProtonMail for their email hosting, this means all communications between employees are automatically protected with end-to-end encryption. ProtonMail can also support sending/receiving end-to-end encrypted messages with recipients who are not using ProtonMail. The use of end-to-end encryption makes ProtonMail a better choice for security conscious individuals and organizations.