If the liquid fell out of the straw, that could create vacuum unless the vacuum could be filled by something else. But air can’t get in from the bottom, because the liquid is in the way, and it can’t get in from the top, since your finger is in the way.
So instead, the liquid of the straw is held up by air pressure at the bottom pushing upwards and a combination of weight and the normal force from your finger pushing downwards.
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