This solution runs in linear time and without editing l1 and l2:
def merge(l1, l2):
m, m2 = len(l1), len(l2)
newList = []
l, r = 0, 0
while l < m and r < m2:
if l1[l] < l2[r]:
newList.append(l1[l])
l += 1
else:
newList.append(l2[r])
r += 1
return newList + l1[l:] + l2[r:]