I live in the Vaudoise Riviera, near Montreux :)
In fact, only a few cheeses got holes in them!
(I think you're talking about the Emmental)
here's the explanation:
The mixture of the cheese first has to ferment before you eat it.
During the fermentation, some bactéria present in the mixture release some
CO2 in the cheese; there are some "bubbles" of CO2; the holes from the cheese.
If you want a better explanation, tell me; I'll make it
(I didn't have a lot of time when I wrote this...)
Have a good day!