'From scratch' means from the beginning or from 'basics'. If you cook something from scratch, it means making it all yourself from basic ingredients. For example, fast-food outlets probably use ready-made mixes for their bread products which they simply add water to and then bake. Or maybe they have frozen half-baked products which they just put in the oven. But if you make buns from scratch, you mix your own ingredients - flour, yeast, oil and so on, and do all the preparation yourself. You can do many other things 'from scratch'. For example, if you start to learn a language that you have never studied before, and maybe don't even know any words in that language, you can say that you are learning that language from scratch. Or let's say that a business fails, and the business owner loses all his money. He could choose to give up, or to start again from scratch ie from nothing.

When someone says they made something "from scratch", it means that they made it right from the beginning (and not just cooking either). So in your example, they didn't buy the buns from another place ... and maybe they didn't even buy the dough from somewhere else! They had all the separate ingredients and made the whole bun themselves.