How jQuery assign value to 'this' on each function?

Question

I would like to know, how jQuery assign a value to this. I tried as follow, but I am getting an error saying that Uncaught ReferenceError: Invalid left-hand side in assignment.

let each = function(o, callback) {
    let keys = Object.keys(o);
    for (let i = 0; i < keys.length; i++) {
        (function() {
            this = o[keys[i]];
            callback();
        })();
    }
}

In jQuery

$("p").each(function() {
    console.log(this);
});