I also never heard it before, probably should have, here’s the first part of the definition from TV tropes:
“Lampshade Hanging (or, more informally, “Lampshading”) is the writers’ trick of dealing with any element of the story that seems too dubious to take at face value, whether a very implausible plot development or a particularly blatant use of a trope, by calling attention to it and simply moving on.”