Do babies naturally understand words? (Read desc)

Truly a stupid question because we mostly all assume babys have to learn everything they know.

But I watched a video where a guy asked why when you tell a baby "say daddy" or "say mommy" they always say "daddy" or "mommy"

They never say the word "say" so is it possible that they naturally know what the word "say" means?

Like why do they only end up saying the word you want them too instead of the word "say"?