First of all, to actually understand the concept behind clone better I recommend the answer to the question: How to properly override clone method?
Regarding the source code you have put into your question:
native means here, that this is a method which is not implemented with Java, but with another language, often C or C++. It's still part of the JVM, hence you can find the actual implementation in the OpenJDK™ Source Release in the 
"openjdk/hotspot/src/share/vm/prims/jvm.cpp":539
JVM_ENTRY(jobject, JVM_Clone(JNIEnv* env, jobject handle))
  JVMWrapper("JVM_Clone");
  Handle obj(THREAD, JNIHandles::resolve_non_null(handle));
  const KlassHandle klass (THREAD, obj->klass());
  JvmtiVMObjectAllocEventCollector oam;
  .
  .
  .
JVM_END