Not every phone supports HDMI out via the USB connector.
If you have a micro usb (type b) device, there are two options... the newer standard is MHL which is a competing standard against SlimPort
SlimPort specific list here: http://us.slimportconnect.com/slimport-supported-devices/
MHL specific list here: http://www.mhltech.org/devices.aspx?tid=1
If you have a usb type c device, the feature is called DisplayPort over USB-C. The dongle / cable then has a DP to HDMI translator chip inside.
To make things more complicated, some type b and most type c devices can also be a USB host, and will drive a USB to HDMI or USB to DisplayPort adapter, which is different than the the previously mentioned interfaces. This adapter functions as an external "graphics card" for the device, on phones, it usually mirrors the display, on more advanced devices, it can function as a separate display.
