"Literally work on amy URL" is right. As far as I can tell, if you give i0.wp.com/ i1.wp.com/ or i2.wp.com/ *any URL of a media file* those domains will happily scrape it, spread it around their CDN, and start serving it!
It appears that the Automattic CDN does not just fetch and save files from sites without Wordpress or Jetpack, it fetches and saves them even if robots.txt says no crawlers.
It's called "Image Accelerator" in the Dashboard > JetPack screen and can be toggled on and off.
As the OP says, the site in question does not have JetPack installed. And those Automattic domains will copy and serve any media file available at a URL if you call for it.