Yeah, but how are those files created?

They are created by Opera's developers.

How are they available to use in Opera's interface?

The developers have programmed Opera to use them.

There're Thai, Vietnamese... but no Lao.

There are many languages missing. Unfortunately, they can't add all.

Involving in translation? If so, I can translate.

This is not how things work. Those translations are made by professionals.

However, I've tested with Google Chrome and Firefox locally. It works well.

If it works with Chrome then it should work with Opera.