So it seems this is called castellation and it is done by placing connectors that are later milled. I didn’t expect this because I imagined that the routing would rip the copper out of the PCB.
I will ask if this could be done by the people I usually order PCBs to.
Thanks @maui for your fast and complete answer. I am sorry I did not find the post you linked.
Thanks also everyone for the awesome KiCad software!