Huh, the syntax can be almost directly spliced into Common Lisp's loop:

  CL-USER> (let ((foo '(1 2 3)) (y '(2 4)))
             (loop for x in foo unless (member x y :test #'=) collect x))

  ;; -> (1 3)

It wouldn't be hard to write a macro that expands your expressions to CL's loop, with a bit of magic to parse the "if ... [not] in ...".