Most of the notes of those chords are in the key of E major, the E (I), A (IV) & B (V) chords.  The root notes of the G & D are not in the key of E major, but it's not necessary for every note of all the chords to only be notes from one scale or key signature.  In fact that's where many songs, melodies, riffs get their interesting parts from: a note or chord that's outside the key for variety.

Anders is demonstrating that you can find the interval distance & relationship of any given chord (in or out of the key) by reference to the tonic chord, the "one chord" in this case E major (I).

You would have to adjust your melody (vocal or instrumental), or riffs, solo licks to match the chord tones of those chords when they happen in the music.

This is called modulation when we use a chord or notes outside the key signature for variety.

I go into more detail about this in my tutorials on improvisation.

https://www.guitartricks.com/tutorial/876

https://www.guitartricks.com/tutorial/2329

In particular check out the lessons on modulation or using chords outside the key signature.

Hope that helps!