The bubbles that form are still water, just water as a gas rather than water as a liquid.
These bubbles are always forming throughout the liquid water. However, the pressure of the liquid water is strong enough to immediately collapse the bubbles that form whenever the liquid water is below it’s boiling point. Once the water temperature reaches the boiling point, the pressure inside the bubbles that form is high enough that it pushes back against the liquid water enough that it doesn’t collapse.
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