How does my fenix 6 or connect app generate what is called stress?

Your watch does it by measuring heart rate variance.

The watch measures your Heart Rate Variability, which is greatly influenced by the stress. You can find some basic info in the Garmin Support document What Is the Stress Level Feature on My Garmin Device?, more details in the Firstbeat's document Stress and Recovery, and another detailed and well comprehensible explanation was published also in the article Heart rate variability: A new way to track well-being