Cooper pair splitting (CPS) is a process in which the electrons of the naturally occurring spin-singlet pairs in a superconductor are spatially separated using two quantum dots. Here, we investigate the evolution of the conductance correlations in an InAs CPS device in the presence of an external magnetic field. In our experiments the gate dependence of the signal that depends on both quantum dots continuously evolves from a slightly asymmetric Lorentzian to a strongly asymmetric Fano-type resonance with increasing field. These experiments can be understood in a simple three-site model, which shows that the nonlocal CPS leads to symmetric line shapes, while the local transport processes can exhibit an asymmetric shape due to quantum interference. These findings demonstrate that the electrons from a Cooper pair splitter can propagate coherently after their emission from the superconductor and how a magnetic field can be used to optimize the performance of a CPS device. In addition, the model calculations suggest that the estimate of the CPS efficiency in the experiments is a lower bound for the actual efficiency.