They probably did, but even if they didn't it may have come from the terrabytes of data they scraped from the internet. OpenAI doesn't care. They claim that it's derivative enough to go under fair use. And whether it is or isn't, I guess their calculation is that the risk is worth taking to be the first to develop these algorithms, which is a huge head start if the courts decide that it does count as fair use.
Hilarious parodies like these are copyright infringement, yes, but also open-and-shut fair use defense. (You're confusing the issue of transformativeness and fair use defense.)
