How do I create a function that modifies a message in the wp-login.php file?

If there is no filter to change the content, the other option is to add a function hooked to gettext – for example:

/**
 * Change text strings
 *
 * @link http://codex.wordpress.org/Plugin_API/Filter_Reference/gettext
 */
function wpse_382257_text_strings( $translated_text, $text, $domain ) {
    switch ( $translated_text ) {
        case 'Check your email for the confirmation link, then visit the login page.' :
            $translated_text = __( 'SOMETHING ELSE', 'text-domain' );
            break;
        
        case 'Another' :
            $translated_text = __( 'Whatever..', 'text-domain' );
            break;
    }
    return $translated_text;
}
add_filter( 'gettext', 'wpse_382257', 20, 3 );

ref: https://developer.wordpress.org/reference/hooks/gettext/