Me not knowing pandas, a general answer:

You can overload anything in python, and they must have done that there. If you define a special method __getitem__ on your class, it is called when you use obj[key] or obj[start:stop] (With just key as argument in the former case, with a special slice object in the latter). You can then return anything you want.

Here's an example to show how __getitem__ works:

class Foo(object):
    def __getitem__(self, k):
        if isinstance(k, slice):
            return k.start + k.stop # properties of the slice object
        else:
            return k

This gives you:

>>> f = range.Foo()
>>> f[42]
42
>>> f[23:42]
65

I assume that in your example, the __getitem__ method returns some special object, which contains the datetime objects plus a reference to the original ts object. That special object can then use that information to fetch the desired information later on, when the first_valid_index method or a similar one is called. (It does not even have to modify the original object, like your question suggested.)

TL;DR: Learn not to worry :-)

Addition: I got curious, so I implemented a minimal example of the behavior you described above myself:

class FilterableList(list):
    def __init__(self, *args):
        list.__init__(self, *args)
        self.filter = FilterProxy(self)

class FilterProxy(object):
    def __init__(self, parent):
        self.parent = parent

    def __getitem__(self, sl):
        if isinstance(sl, slice):
            return Filter(self.parent, sl)

class Filter(object):
    def __init__(self, parent, sl):
        self.parent = parent
        self.sl = sl

    def eval(self):
        return [e for e in self.parent if self.sl.start <= e <= self.sl.stop]


>>> l = FilterableList([4,5,6,7])
>>> f = l.filter[6:10]
>>> f.eval()
[6, 7]
>>> l.append(8)
>>> f.eval()
[6, 7, 8]