To become a covered entity, the business has either work with a healhcare provider, health data trasmiter, or do business as one.
Notably, even in the above case, HIPAA only applies to the healthcare part of the entity. So if McDonald's collocated pharmacies in their restaurants, HIPAA would only apply to the pharmacists, not the cashiers.
That's why you'll see in connivence stores with pharmacies, the registers are separated so healthcare data doesn't go to someone who isn't covered by HIPAA.
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As for how ChatGPT gets these stats... when you talk about a sensitive or banned topic like suicide, their backend logs it.
Originally, they used that to cut off your access so you wouldn't find a way to cause a PR failure.