Pretty sure they can get internet through the HDMI cord from Roku or similar device
Since Roku like other smart TV companies makes money off of user data captur, it's not incentivized to enable those conditions for a downstream device, especially if not specifically advertised as a feature.
There's esp-idf examples from espressif for doing bridging on an esp32 if you have one with a MAC and a PHY and/or spi mac+phy.
Or for wired ethernet, they could include a three port switch IC.