Generally, that would result in a lossy-to-lossy conversion (at least on youtube, which primarily serves aac and opus audio).

But even ignoring that, most youtube videos go through a lossy-to-lossy conversion/re-encode when it's uploaded in the first place. Authors typically encode their videos into a lossy format before uploading them, and at least the video stream is always re-encoded by youtube itself once the video has been uploaded.

In addition, the source material (like screen captures etc.) is often encoded in a lossy format as well, which would result in the following chain:

lossless video capture -> saved to disk (lossy encoding) -> video editor, then save result (lossy encoding) -> upload to youtube -> youtube encodes to formats to be delivered to viewers (lossy encoding)

If you specify a non-lossless format to youtube-dl, then append -> youtube-dl re-encode to chosen format (lossy encoding).