You do not only want to have "additional strings in between", since you also want something "in front" of each string.
More specifically, you want "Hey " in front of each String, and ", " between each of them.
I would use maplist/3 to concat the String "Hey " in front of each of your entries using atom_concat/3.
All "Hey X"-entries can then be concatenated to a single string using atomic_list_concat/3.
This predicate also takes a separator which should be placed between all entries, i.e., ", " in your case.
List = [a,b,c,d],
maplist(atom_concat("Hey "), List, HeyList),
atomic_list_concat(HeyList, ", ", FinalString).
Result:
List = [a, b, c, d],
HeyList = ['Hey a', 'Hey b', 'Hey c', 'Hey d'],
FinalString = 'Hey a, Hey b, Hey c, Hey d'.