This is from a dynamic hook that’s generated in the wp-admin/admin.php file and fires right after the admin_init action.
Here’s the inline documentation for the core screens part:
/**
* Fires before a particular screen is loaded.
*
* The load-* hook fires in a number of contexts. This hook is for core screens.
*
* The dynamic portion of the hook name, `$pagenow`, is a global variable
* referring to the filename of the current page, such as 'admin.php',
* 'post-new.php' etc. A complete hook for the latter would be
* 'load-post-new.php'.
*
* @since 2.1.0
*/
do_action( "load-{$pagenow}" );
When we visit /wp-admin/customize.php the generated action is load-customize.php.
We can then e.g. check if it has already been fired with:
did_action( 'load-customize.php' );
that returns the number of times it has fired so far, during the page load.
Check the code reference for more info on did_action().
Another example is the wp-admin/edit.php and the corresponding load-edit.php action.