A cons
cell essentially contains two pointers to two other objects. Your code in question would translate roughly to this pseudo-C:
struct cons {
void *car;
void *cdr;
};
cons *l = &cons{"a", NULL};
cons *p = &cons{l, l}; // no copy takes place, we're handling pointers here
p->cdr->car = "b"; // this changes the "l" object, and nothing else