RORY: Did you pick out your ring?
LORELAI: Yup, he’s gonna surprise me with it tomorrow.
RORY: Twenties Deco?
LORELAI: Supposedly ripped right off of Zelda Fitzgerald’s cold dead hand.
Zelda Fitzgerald, born Zelda Sayre (1900-1948) was an American socialite, writer, artist, and the wife of author F. Scott Fitzgerald. The couple became icons of the Jazz Age, and her husband dubbed Zelda “the first American flapper”.
The Fitzgeralds’ marriage deteriorated, and Zelda was admitted to psychiatric care, diagnosed as schizophrenic. She spent the rest of her life in and out of sanatoriums. Like Amy Sherman-Palladino, Zelda studied ballet as a child, and as an adult, became obsessed with it again to the detriment of her health.
Lorelai is joking about her engagement ring being Zelda Fitzgerald’s, just that it is from the 1920s. It is telling that she links her engagement ring with a woman who had a famously disastrous marriage.
The Annotated Gilmore Girls 