I think it just means the singleton set with the number 1 in it, but I agree that it is confusing. See how the messages changes if you add chain1 2 = [2,1]:
Patterns not matched: p where p is not one of {1, 2}
The problem here is that GHC doesn’t know that even n and odd n exhaustively cover all possible n. To fix it you can use otherwise instead of odd n:
chain1 n
| even n = ...
| otherwise = ...
Or you could use quotRem and a case expression:
chain1 n =
case quotRem n 2 of
(n', 0) -> n : chain1 n'
_ -> n : chain1 (n * 3 + 1)