LORELAI: Where else did you apply? ….
RORY: Princeton . . . um, Yale.
In the early 2000s, it was free to apply to up to three colleges, but after that you had to pay a small application fee for each one. Because of this, it was common to only make three applications, and it looks as if Rory applied to three universities: Harvard, Princeton (where her paternal grandfather went), and Yale (where her maternal grandfather went). She probably didn’t want to ask Lorelai for the money for further applications, knowing that she’d be upset about it, nor did she want to go behind her mother’s back and ask her grandparents for the money.
Lorelai acts as if applying to Yale is a complete shock, even though she knows Rory had an interview there, and she herself read a brochure about it, as if she was trying to get used to the idea. Apparently she needed a lot more time for it to sink in.