What do assemblers translate macros into during assembling?
From a semantic point of view, macros are expanded into assembly code. How macros are actually implemented probably depends on the assembler. One option would be to expand them in a preprocessing step, like in C compilers; another would be to expand them on the go. The end result is the same &mdash; it is as if the macros were expanded textually in a preprocessing step.

There are other mechanisms used in assemblers that you might consider macros but are different. For example, the x86 MASM uses db/dw/dd to define data. These are stored in the resulting executable, the exact way depending on the executable format, particularly how the binary is loaded into memory. Usually there is a specific data segment which is loaded into a specific address, the relevant pages being marked non-executable if the processor supports this.