This was pretty easy in the end. Webform by default doesn't provide you an option of sending HTML emails. Here is a list of contrib modules you can use to send richly formatted HTML Emails:- https://medium.com/@OPTASY.com/how-to-send-richly-formatted-html-emails-in-drupal-8-deliver-the-experiences-that-your-customers-1a29626b7f2e
I used HTML MAIL because it is pretty easy to work around and also integrates contrib modules like Mail MIME modules, echo, Transliteration etc. and provides you much more options to customise your emails. You can download it here https://www.drupal.org/project/htmlmail. Also check for requirements.
Here is the documentation for HTML MAIL https://www.drupal.org/docs/8/modules/html-mail.
To make it simple. All you need to do is.
1. Download and enable the HTML Mail module.
2. Copy the htmlmail--htmlmail.html.twig
template to your theme directory.
3. You can follow the naming convention from the above documentation. e.g:- if your form name is newsletter than your template name for that specific form will be htmlmail--webform--newsletter_email.html.twig
4. You also need to enable Mail system module. And in admin/config/system/mailsystem
add the module specific configuration which in my case was webform.