From the game's encyclopedia
A Holy War is a special type of War waged by a Ruler of one Faith against a Ruler of a different Faith.
Holy War are usually quite destructive, with the winner of a Holy War typically seizing all Counties in the targeted area for themselves. However, if attacker's Faith is Pluralist or the defender has Vassals of the attacker's own Faith in the targeted area, some or all Vassal Rulers in the targeted area may simply be transfered to the attacker instead.
Unlike other wars, Rulers of the same Faith as the target may choose to join in their defense without the need of an Alliance.
Holy Wars may be allowed or restricted depending on the different Religious Families
The game's text for patch 1.20.1.2. Words in blue are entries of the encyclopedia: hover one to read it, as in the game.
Holy War is an entry of Crusader Kings III's in-game encyclopedia. The game explains it: "A Holy War is a special type of War waged by a Ruler of one Faith against a Ruler of a different Faith." The game also links it as Holy Wars and Holy. Patch 1.20.1.2, from game/common/game_concepts/00_game_concepts.txt and game/localization/english/game_concepts_l_english.yml.
Source: game/common/game_concepts/00_game_concepts.txt, game/localization/english/game_concepts_l_english.yml and the English localisation, Crusader Kings III 1.20.1.2.