I'll attempt to explain this the way I understand it, although my work is primarily in livestock reproduction, not plant.
Basically, some plants can set fruit without fertilization from sperm (pollen), a trait known as parthenocarpy. Seedless watermelons are propagated by seed, but the parthenocarpic characteristic can still be exploited.
Basically, this works by making seedless watermelons produce triploid seed. Triploid means that it has three sets of chromosomes- instead of having one set from each parent, it has two sets from one parent and one from the other. They can only very rarely produce ova and sperm with the correct set of chromosomes, so it's highly unusual for successful seed set to result.
Watermelon breeders cross the normal diploid parent with a tetraploid parent, which itself is created by genetically manipulating diploids to double their chromosome number. This has to be performed each generation.
There may be other methods of propagating seedless watermelons, but I am not aware of any particulars.
Interestingly, my sister, who works with cucurbits and in cucurbit research, tells me that in Africa, they are breeding watermelons to be almost completely filled with seed, as they have a high nutritional value.