The resistance to exhaling and inhaling adds more rhythm to your breathing. Hyperventilation is you breathing in and out too fast, leading to bad gas exchange. The bag forces you to breathe slower. The bag doesn't actually do anything more, than someone looking in to your eyes, and commanding you to "inhale... exhale.... inhale... exhale..."

This is why people with panic disorders (like me), are taught some breathing rhythm thing we can exercise. I myself use "breathe only through the nose and fully exhale and inhale" (Harder than you think, and I played the french horn and tuba for +10 years - I got good capacity). Full inahle and exhale also activates you parasymphatic nervous system and calms you down.

It is just about the feeling of gaining control, giving you something to focus on that keeps you present.

The bag tricks isn't even recommended anymore, since people forgot that they'd actually also need to breathe oxygen in. Leading them to be more likely to pass out from lack of oxygen. Also doesn't actually teach you methods. of controlling your emotions, but instead forcing you to rely to a tool. And if you don't have that tool to get comfort and control from, it makes things worse.