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With CGI a new process was made per request with the environmental variable available and input output went through stdin/stdout

With fast cgi one process handles many request over its lifetime, therefore, its environmental variables aren't specific to any one request.

Does the web server append these to the http document or something? How do the environment variables that aren't part of the http document make it to the fast_cgi handler?

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Information that's passed to regular CGI via environment variables is instead passed to FastCGI over its socket, as FCGI_PARAMS data.

Quote from the specification:

The Responder application receives CGI/1.1 environment variables from the Web server over FCGI_PARAMS.