Because of a bit at the end called the “reflector”. The machine has a bunch of rotors which substitute letters with other letters. The input goes through the rotors, eventually reaching the reflector. The reflector would send the input back through the rotors in reverse order, but through a different path. The advantage of this was that there’s no difference between encryption and decryption (if A goes to, say, Q, then Q goes to A).
However, because the reflector always send the input back through a different path, it means that a letter can never be substituted with itself.
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