Alternative take: Gilmore Girls is a TV show in a world where the Sopranos are a real family, and since they're a rich and powerful family the girls simply know about them.
edit: same thing happened with Sopranos & Curb Your Enthusiasm. In one Sopranos episode, Junior sees Curb on TV and mistakes it for himself and Bobby. In a Curb episode, Larry is asking Cheryl where the Sopranos DVD case is.