You are not supposed to dial 99# from the phone UI. It's special number that gets interpreted by the phone hardware itself and switches it to essentially router/access-server mode (the 1 at the end is optional parameter which is index of configuration you want, with the configurations being defined by AT+CGDCONT), most common thing that happens is that phone estabilishes PPP session with whatever device that sent ATD*99# and then routes it through packed based celular networkg (ie. GPRS/EDGE/UMTS/LTE), the mechanism is not specific to IP (although the actual network-side transport is always over IP) and other L2 protocols than PPP are sometimes supported. There is no reason why smartphone has to use Hayes protocol to communicate with baseband (and thus this mechanism), but many do.
Replying to OP because it's the most logical place to put this -
I'm curious what a "USSD code" is, and what kinds of codes I could input into the dialpad that do interesting things.
(I'm already aware of standard telco features like call forwarding, and I know iOS and Android both have their own set of "easter eggs" accessible via the dialer. I'm talking specifically about non-secret codes that talk to the baseband and stuff like that, if this sort of thing exists.)
Hook your phone to your computer via USB and try to invoke that command on the serial port that appears; you'll get a PPP connection right away. It won't work with the dialpad app.
> USSD code running...
then
> Connection problem or invalid MMI code.
So what was my phone just trying to do?