LUKE: You gonna go [for a ride on a sleigh]?
JESS: I think I’ll wait for the clog dancing.
Clog dancing is a traditional step dance performed wearing wooden clogs, originating in mining districts of Wales and the north of England. The tradition came to the US via immigration, and is typically associated with the Appalachian region, where it combined with bluegrass, Native American, and African-American dance rhythms. It is from clog dancing that tap dancing formed.
Jess turns down the ride in the sleigh with Luke because he’s planning on jumping on Rory’s sleigh when he can do so while unobserved.