Cons is short for construct and comes from Lisp which has weird names for things; things like car and cdr.
It means construct a new list.
A cons A (or A :: B) means create a new list with A before B, where B can be a list item or a list itself and A is a list item.
The :: operator is right associative so "Jim" :: "Bob" :: Nil actually works like ("Jim" :: ("Bob" :: Nil) ) (Actually all operators that end in : are right associative in Scala.)