The doc says:
Remember that the startup scripts are loaded into the current session only when the state is reset. The contents of the script is stored, not a reference to the script.
(https://docs.oracle.com/javase/9/jshell/scripts.htm#JSHEL-GUID-AC2A6582-6A9A-48B1-ABBF-4C9536CDFD07)
For example,
/set start -retain mystartscript.jsh
But where does it store the contents of mystartscript.jsh?