You are returning a, so 5, not the object. And you pass an object {} for this, but it is not stored anywhere, you can't check it later. If you passed an object which you have access to afterwards, like diz below, its .a becomes 25 properly:

function Square(a) {
  this.a = a ** 2;
  return a;
}

const diz = {};
const value = Square.call(diz, 5);
console.log("Returned 'a', should be 5:",value);
console.log("Altered 'object.a', should be 25:",diz.a);

Alternatively you might have wanted to return this;:

function Square(a) {
  this.a = a ** 2;
  return this;
}

const value = Square.call({}, 5);
console.log(value.a);

I don't know why you use this, or where this object value is coming from. But let me explain. Your argument a can't be changed directly. You need to assign it to a variable, e.g. result to change and return it.

return result = a ** 2;

To call the function, you don't use .call. You simply call it in your console.log().

console.log(square(a));

The whole magic of this function you want to write:

function square(a) {
    return result = a * a;
}

console.log(square(a));

// expected result is 25

I recommend a course on freeCodeCamp to learn the fundamentals of JavaScript. You can find it here.