Rory calls Lorelai “Cleopatra, Queen of Denial” when she refuses to admit that she’s in a bad mood because she misses Max, who she broke up with a couple of months ago. Perhaps her night with Christopher in the previous episode only made it clearer how superior Max is.
Rory’s referencing the 1993 country song Cleopatra, Queen of Denial by Pam Tillis, an obvious pun on Cleopatra, Queen of the Nile. It’s from her album Homeward Looking Angel, and got to #11 on the country music charts. It helped popularise the phrase “queen of denial” to mean a woman who deals with her problems by denying they exist. It seems to have originated with Alcoholics Anonymous and the Twelve Step Program, which became mainstream in the early 1990s.