Question: How do wi-fi ( or any wireless connections ) connect to the modem and to the device then back again through air ?

It is basically a radio. Signals like radio, micro-waves, light and x-rays are all what we call electro-magnetic radiation. They are a combination of a magnetic field and an electric field both changing very rapidly – if it only changes a few thousand times a second it is radio, while x-rays change much faster (with light, blue changes faster than red). These waves can pass through the air (or even through space where there is no air).
They can be made to carry information in several ways; the simplest is to switch them on and off, others are make them stronger and weaker (AM radio does that), or change their frequency (FM radio does that)
Is that too technical for you? or not enough detail?
If you want more detail, add a comment on this question. I will keep checking.