The Common Lisp version he has is pretty poor; I think this is more idiomatic, and is two lines as well:

    (defun build (list1 list2) 
       (loop for x in list1 append (loop for y in list2 collect `(,x ,y))))

or:

    (defun build (list1 list2) 
       (mapcan (lambda (x) (mapcar (lambda (y) `(,x ,y)) list2)) list1))

Still more verbose, of course, but not at all bad.