It's super un-intuitive, but you're indirectly harnessing the gravitational potential energy of lowering your propellant into a gravity well and leaving it there. The overall orbital energy gain of the spacecraft can exceed the chemical energy of the fuel.
In terms of the energies involved, the Oberth effect is more effective at higher speeds because at high speed the propellant has significant kinetic energy in addition to its chemical potential energy.[2]: 204 At higher speed the vehicle is able to employ the greater change (reduction) in kinetic energy of the propellant (as it is exhausted backward and hence at reduced speed and hence reduced kinetic energy) to generate a greater increase in kinetic energy of the vehicle.