It is called a plug in hybrid. A hybrid has both gas and electric motors, so, it is not a purely electric car. In the case of the Volt, the electric motor and batteries always provide propulsion, and a small(ish) gas motor is run to recharge the batteries after the 40 miles or so the car will travel on it's plug-in charge.
Beside the fact that it is a hybrid, even batteries and electric motors heat up and have a need for temperature control, so, in order to use whatever energy is available, the heater system may pull heat from these sources. I cannot say for sure, but that would be a definite possibility. If not then it is possible that it will run the generator to create heat.
