This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
Well, there are many layers of internals. There's the bytecode your code compiles to; there's the JVM itself as an abstract virtual machine, and how it operates; and then there are the data structures of the actual JVM implementation. As far as I know, no books exist that talk about this third, innermost level for any JVM implementation. The knowledge wouldn't do you much good, anyway. But the second layer is well-documented, and that's what most people concern themselves with when learning about "Java internals." See, for example, the Java Virtual Machine Specification.
Now, that will teach about what instantiating an object means. But as to your second question about Collections: all the Collections classes are written in Java itself, and the source code comes with your JDK download (look for a file "src.zip" in your JDK installation directory). They're all very simple classes and can be read and understood by any intermediate level Java programmer. Give it a try.