If you modify your example into
\tracingonline=1 \showboxdepth=\maxdimen \showboxbreadth=\maxdimen
$\mathopen|-\infty\mathclose| \left|-\infty\right|\showlists$\showlists
\end
you get on the terminal
### math mode entered at line 3
\mathopen
.\fam2 j
\mathbin
.\fam2 ^^@
\mathord
.\fam2 1
\mathclose
.\fam2 j
\mathinner
.\left"26A30C
.\mathbin
..\fam2 ^^@
.\mathord
..\fam2 1
.\right"26A30C
which should answer your question: the “change” of the \mathbin atom happens later, when spaces are being inserted during the conversion of the math list to a horizontal list. Indeed, the second \showlists yields
### horizontal mode entered at line 3
\hbox(0.0+0.0)x20.0
\mathon
\tensy j
\tensy ^^@
\tensy 1
\tensy j
\glue(\thinmuskip) 1.66663
\hbox(7.5+2.5)x23.33339
.\hbox(7.5+2.5)x2.77779
..\tensy j
.\tensy ^^@
.\tensy 1
.\hbox(7.5+2.5)x2.77779
..\tensy j
\mathoff
Note that the ASCII code of j is "6A, so in all cases the same glyph is used to realize the vertical bar.