What is happening when voltages is applied on thermocouple?

Voltage is not intended to be applied to a thermocouple. Heat is, and that will result is a voltage being developed which can be used to measure the heat.

Actually what will happen depends on the polarity of the voltage applied to the thermocouple. One polarity will heat the thermocouple, the opposite polarity will cool the thermocouple. This phenomenon can be used to make a tiny refrigeration system needing no refrigerant fluid or moving parts (other than a fan to expel the unwanted heat) called a thermoelectric cooler.

A practical thermoelectric cooler is not built with ordinary thermocouples used to measure temperature or generate electricity. Instead it uses large thermocouples having a contact area between the dissimilar metals measured in square inches. Two of these large thermocouples are connected back to back in opposite polarity with a thermal insulator between them. When power is applied, one gets cold while the other gets hot.

Thermoelectric coolers are used in microprocessor heatsinks and in small portable refrigerators that are powered from a car's cigarette lighter outlet. In fact most of these small portable electric refrigerators have a switch that reverses power to the thermoelectric cooler, making it a heater instead; thus they can keep food either cold or hot, whichever is appropriate.