LORELAI: Shh. Incoming.
“Incoming” is a stock phrase often used in film or television that is called out by one character to alert others to danger, commonly in battle scenes to mean something is about to fall on them. It originates from military usage.
Lorelai is telling to Rory to be quiet and stay out of the way, since they are witnessing a “battle” between Richard and Emily, and risk getting the middle of it.