In S1E7, Rory and Lorelai are waiting for Dean to arrive for their movie night, but he’s late. Rory says, “Maybe something happened. Maybe he’s not coming!” Lorelai responds, “Maybe he’s just late, Miss German Train!”
This is a weird reference, for sure. I think Lorelai is just talking about the stereotype that the Deutsch Bahn and Inter-City Express trains in Germany always run on time. Germans tend to be punctual. Plenty of people contest the veracity of this claim, but it remains a stereotype nonetheless.