When you're asking P(Heads) of a coin, its short hand for "P(event=heads) for all possible events that can happen when flipping a coin". You notice that in this idealized world the event is always two things (heads or tails), and never null, side, cow because we have defined that the P(event=cow) = 0.
Probability functions are at the end of the day models that we can use to analyze real world non-deterministic phenomena with the rigor of mathematics.
[0] - with credit to Prof Gubner https://directory.engr.wisc.edu/ece/Faculty/Gubner_John/