Consider this piece of code:
(defvar lst \'(1 1))
(defmacro get-x (x lst)
`(nth ,x ,lst))
(defun get-y (y lst)
(nth y lst))
Now let us as
SETF is a macro.
The idea is that to set and read elements from data structures are two operations, but usually require two different names (or maybe even something more complex). SETF now enables you to use just one name for both:
(get-something x)
Above reads a datastructure. The inverse then simply is:
(setf (get-something x) :foobar)
Above sets the datastructure at X with :FOOBAR.
SETF does not treat (get-something x) as a reference or something like that. It just has a database of inverse operations for each operation. If you use GET-SOMETHING, it knows what the inverse operation is.
How does SETF know it? Simple: you have to tell it.
For The NTH operation, SETF knows how to set the nth element. That's builtin into Common Lisp.
For your own GET-Y operation SETF does not have that information. You have to tell it. See the Common Lisp HyperSpec for examples. One example is to use DEFUN and (SETF GET-Y) as a function name.
Also note following style problems with your example:
lst is not a good name for a DEFVAR variable. Use *list* as a name to make clear that it is a special variable declared by DEFVAR (or similar).
'(1 2) is a literal constant. If you write a Common Lisp program, the effects of changing it are undefined. If you want to change a list later, you should cons it with LIST or something like COPY-LIST.