RORY: I don’t know, I just sat down.
PARIS: Nobody just sits down with them, you have to be invited.
RORY: Paris, it’s not the Cosa Nostra.
Cosa Nostra is the name for the Sicilian Mafia. It literally means “our thing”. Rory would be familiar with it from the Godfather films. One of the “rules” of the Cosa Nostra is that you can never approach it without invitation; you must be introduced by a trusted member.