The process of making an encased cent is similar to making coins. A holed (for the penny) alum. planchet is struck by a die. The die is usually made to crimp the penny in place. I have a few in which the penny fell out, but this is unusual. Most of the time it takes a lot of effort and a tool (an awl) to get the penny out.

Sometimes an encased without the penny is still quite valuable. Some shapes, a goblet or Teddy Bear, even without the penny could sell for up to $100. An "empty" Nevada Casino Encased would be valuable to me if I don't have an example.