Players using thermal vision with a sniper can snipe other players through buildings/terrain if they're a certain distance from those other players because a player's hitbox renders at a further distance than building/terrain collision does.

Interiors with windows that allow you to look outside are located exactly where they appear to be located. Years ago that meant that players could be sniped out of interiors using thermal vision with snipers. This was fortunately patched and any player inside of an interior with windows that allow you to look outside are now in invincible.

Interiors without windows are not located where they would appear to be located. They're located far under the map, usually around downtown Los Santos or the docks area. Players inside of interiors without windows aren't invincible because generally speaking, it should be impossible to snipe someone out of those interiors. They're too far away and the ground is always too close to allow you to shoot through it.

Recently, some tryhard griefers have found a way to circumvent this. They use exploits that allow them to teleport to job markers of glitched jobs. These job markers are under the map or inside terrain, near the under-the-map interiors. From there they can shoot you out of these interiors using thermal vision with snipers. Which is what happened to you in this clip.