As far as I know, the VBA Collection is implemented as a linked list (used by Integer indexes and For Each...Next) and a hash table (used by keys). And as Raven said, you can't have multiple items with the same key.
Edited:
@MarkJ: I should have given my cite for this:
Hardcore Visual Basic 2nd Ed. by Bruce McKinney, published by Microsoft Press 1997 ISBN 1-57231-422-2
Quotes:
Page 191 - The Collection Class
"To put it simply, the Collection class is a souped-up C++ version of the CList class [...]. In fact, if you enhance CList to be a doubly linked list and give it a few more features (and perhaps use a hash table to look up string keys), you'll have a collection class much like the one provided with Visual Basic."
Page 197 - Performance
"And, as a matter of fact, I have been told by Visual Basic developers that Collections are doubly linked lists (with additional features to support indexing)."
Now, McKinney was more of a journalist than a programmer, and not a developer. However, he did work for Microsoft, and have contacts in the VB and VBA teams. His explanation works for me.
Incidentally, the reason for the doubly-linked list is to make it efficient to insert items at both the beginning and end of the collection.