In general and the somewhat simplistic idea behind foaming due to denaturation is that the proteins undergo conformational unfolding and consequently expose more hydrophobic regions.
For whey proteins and (casein) numerous papers have been published on this, see for example:
The foaming features of proteins (and in particular in food related samples) are greatly determined by interfacial properties. This complex interplay between many factors involved is excellently reviewed in the following paper:
In general and the somewhat simplistic idea behind foaming due to denaturation is that the proteins undergo conformational unfolding and consequently expose more hydrophobic regions.