Telegram new user creations sends confirmation code to... Telegram?

I am trying to create a Telegram account on my Android phone. I enter my country and my *brand new* phone number, then click next. Now it says "we have sent you a message **in telegram** with the code" which sounds bizarre. I don't think you can receive a message during the setup phase, and what would be the point security wise? So I don't understand what they could possibly mean by this. I have received no message whatsoever on my Telegram. This must mean it's impossible for anyone to join Telegram.