The way you’ll do this is to point your registrar’s nameservers to your web host’s nameservers. Each web host will have unique instructions for doing this. It’s usually a self-service activity using web forms.
I can understand wanting to do this, but it can create issues when you want to move from local to a server, because Wordpress has a bad habit of using absolute paths. Migrating to a new site can involve risky search-and-replace through database dumps. Not ideal! It’s far more common to do all dev work remotely on the destination server.
This does not necessarily hold true for other blogging platforms.
A combination of PHP, HTML, CSS, and JavaScript. It is possible, but not required, to make low-level edits. The degree of difficulty around this depends on the level and nature of customization you’re looking for.
You have themes, which handle layout and typography. Then there are plugins, which can add specific functionality. Then there are changes to core, which should be rare and unlikely for a simple blog to need.
Theme editing can be a pain in the arse, because it requires a lot of PHP and Wordpress tribal knowledge. It’s nothing like straight HTML/CSS/JS.