I haven't heard of cell modems in particular, but I've used O.MG cables (described and sold here: https://shop.hak5.org/products/omg-cable; I am unaffiliated with either Hak5 or the team behind O.MG cables) which can create an ad-hoc Wi-Fi network for management/C2 reasons.

It's actually really easy to use (and almost scary, coming from never having used one of these).

They are quite pricey, but way less so than older cables used by security and jailbreak researchers in years past, which would run into the five figures.

I'm aware that there's are local keylogger/payload cables around which let you transmit data short range.

My surprise was specifically about the supposed cell modem within a 6€ cable

It's not that they're cheap cables - it's that they look like cheap cables (or better, middling expensive higher-quality ones).

Someone selling $200 cables for $2 just to spy on people reminds me of those stories of people supposedly giving out $10 pot lollipops to random children on Halloween

You're not going to sell them for $2 to random people on the street. You're going to sneakily replace the charging cord of some targeted $BIGCORP employee working in a Starbucks.

Yep - have a look at https://ha.cking.ch/s8_data_line_locator/