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Following this review, particle-hole is a unitary transformation that mixes creation and annihilation operators in fermionic systems. The operators transform in the following way: $$ \hat{C}\hat{\psi}_I\hat{C}^{-1}=(U_C^*)_I^{\,\,J}\psi_J^\dagger $$ But how does the vacuum transforms, i.e., if I want to write an arbitrary state: $$ |\alpha\rangle=\psi^\dagger_\alpha|0\rangle \\\qquad\qquad\,\,\qquad =\hat{C}^{-1}\hat{C}\psi_\alpha^\dagger\hat{C}^{-1}\hat{C}|0\rangle \\\hspace{29mm} =(U_C)_\alpha^{\,\,J}\hat{C}^{-1}\psi_J \hat{C}|0\rangle $$ Based on what I understand about particle-hole symmetry, I want to make an interpretation in the following way: $\hat{C}|0\rangle$ is the state with all electrons (particles) states filled, but is there a way of showing this formally? Is it the right interpretation?

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Here is a perhaps more direct argument: I suppose you define $|0\rangle$ to be the state with no fermion occupation, so it means that $n_I=\psi_I^\dagger\psi_I=0$ on this state. Define $N=\sum_I n_I$. Now you can check that $CN C^{-1}=N_I-N$, where $N_I$ is the total number of fermionic modes:

$$ C\sum_I\psi_I^\dagger \psi_I C^{-1}=\psi_J \sum_I(U_C)_{IJ}^*(U_C)_{IK}\psi_K^\dagger=\sum_J \psi_J\psi_J^\dagger = N_I-N. $$

Therefore, $C|0\rangle$ must have fermion number $N_I-0=N_I$. There is a unique state that has $N_I$ fermions, that is the one with each state filled.

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On a more pedestrian level particle-hole transformation is $$ c_k=\begin{cases}p_k, \text{ if }\epsilon_k>\epsilon_F,\\ h_k^\dagger, \text{ if }\epsilon_k<\epsilon_F\end{cases}, c_k^\dagger=\begin{cases}p_k^\dagger, \text{ if }\epsilon_k>\epsilon_F,\\ h_k, \text{ if }\epsilon_k<\epsilon_F\end{cases}, $$ where $c_k, c_k^\dagger$ are the electron annihilation and creation operators, whereas $p_k,p_k^\dagger$ and $h_k,h_k^\dagger$ are the annihilation and creation operators for particles and holes respectively.

Then if the vacuum is defined as filled by electrons up to energy $\epsilon_F$, that is $$ c_k|0\rangle=0,\text{ if } \epsilon_k>\epsilon_F, c_k^\dagger|0\rangle=0,\text{ if } \epsilon_k<\epsilon_F, $$ then the same vacuum is elominated by the particle and hole annihilation operators: $$p_k|0\rangle=0,h_k|0\rangle=0.$$

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Another way to see that $C|0\rangle$ is the state with all states occupied is to start with the full state: $$ |f\rangle = c_1^\dagger c_2^\dagger...c^\dagger_N |0\rangle$$ and then insert the unity many times: $$ \hspace{35mm}|f\rangle = C^{-1}C c_1^\dagger C^{-1}C c_2^\dagger C^{-1}C ...C^{-1}Cc^\dagger_N C^{-1}C|0\rangle\\= C^{-1}c_1c_2...c_NC|0\rangle $$ The only way the second line doesn't vanish is if $C|0\rangle$ has all the states occupied.

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