LANE: I mean, you seem to have this really great life going and I don’t really fit in there.
RORY: That’s not true, you totally fit in.
RORY: I’m talking Legos.
Lego is a line of plastic construction toys manufactured by The Lego Group, founded in Denmark in 1949. Lego pieces are interlocking plastic bricks, figurines and various doo-dads that can be fit together in a variety of ways, taken apart, and reused again and again. They are one of the most powerful brands in the world.
(It is usual in the US to refer to the plural Lego bricks as Legos, which sounds grammatically wrong in the rest of the world).
Rory is implying not just that she and Lane fit together tightly like Lego bricks, but that their relationship is capable of change. Life might break them apart, but they will always find new ways to re-assemble their friendship.