Where is coupling introduced between the thermal and mechanical solutions in this model?

The only place where coupling between the temperature and displacement solutions explicitly appears in the input file is in the block that defines the thermal eigenstrain:

[Materials]
  [expansion1]
    type = ComputeThermalExpansionEigenstrain
    temperature = T
    thermal_expansion_coeff = 0.001
    stress_free_temperature = 300
    eigenstrain_name = thermal_expansion
  []
[]
(modules/combined/tutorials/introduction/thermal_mechanical/thermomech_step01.i)

In this block, the temperature parameter indicates which variable is used to define the temperature field. In this case, the T variable that is specified is a solution variable. This results in coupling between the thermal and mechanical solutions. Note that this specified variable can be either a variable that is part of the solution, as is the case here, or an auxiliary variable, which might be prescribed using a function, as was the case in the mechanics-only model that this case builds upon.

In addition to the dependency of the eigenstrain on the temperature solution, there is also a dependency of the thermal solution on the mechanical solution that is not as immediately apparent. The thermal kernels by default run on the displaced mesh, the distortion of which is computed by the mechanics models. For many models, this has a negligible effect, but it can be important in some cases, particularly when thermal contact is included.