These things works by building up a high voltage charge and then discharging quickly through any unfortunate flies/bugs that short out the meshes.
The 3v DC current from the two AA batteries is converted to AC using a simple oscillator circuit and a transformer with a feedback coil. The transformer then ramps up the voltage to around 50v and a Villard voltage multiplier circuit then pushes the voltage higher to potentially 2000v, but I suspect it was more like 700v to 1000v. I didn't test as my multi meters are rated for that voltage level.
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