First things first, Drupal gives great amount of flexibility to both Module Developers and Site Developers, whether its about theming or creating your own little module that integrates into Drupal. For any thing to be themed ie. anything uses or calls Drupal theme() function there is an opening for developers to change default theming. So, for Nice Menus just check out the source code of this module where we have the theme() function call or lets say the theme hook, it takes place exactly at these two functions which are of our interest: