That implies you took the time to sort them, so your O(1) insertion time just became O(N log N). Sure, that cost is spread over how ever many inserts you did between GCs but it isn't O(1) anymore.
SBCL cheats and copies starting from the first cons cell that is referenced from outside the list; this tends to be the start of the list, and so traversing just works. The contiguous copying also ends when a cons cell which was already copied is found, so there can't be more discontinuities than there are cons cells referenced from outside the list, regardless of which order we discover the references.