ΔΣ ADC Programmable Gain Without Amplifier
but in fact, there seems to be no PGA between the ADC and the inputs
  but instead the gain is set inside of the ΔΣ modulator somehow.


Well, the block diagram doesn't imply it's inside the ΔΣ modulator. It implies it is inside a block labelled 3rd order ΔΣ ADC i.e. it doesn't mention the word modulator. Of course there may be somewhere else in the data sheet that does say this but it's not said that way in the block diagram so, just regard it like this: -