It's a dynamic library.
Sometimes the extension is "ndll", but other times the extension is "dylib" or "so", depending on the platform. Technically, you can use the <ndll /> tag in NME to attach any native library to your project.
There's an interface called CFFI that handles communication between Neko or HXCPP, into native code. This is what someone might set up in an NME extension (like the "sqlite" library) or which is used in NME to handle the "glue" between NME's own native "NDLL" library and the high-level code.