RORY: Maybe something happened. Maybe he’s not coming.
LORELAI: Maybe he’s just late, Miss German train.
Despite the common perception that German trains must be extremely punctual, in fact delays are common on long-distance trains in Germany, as the infrastructure is overstretched. However commuter trains in cities are generally pretty good, although nothing remarkable.
Note that this is yet another reference to someone running late on the show.
The Annotated Gilmore Girls 