When Phyllis tells the expectant father that this is not like a Saturday afternoon at the den, she's referring to the football ground where Millwall plays. Millwall is the local football club in the Isle of Dogs area of London, and their ground is called The Den.
This is the first time that Sr. Julienne disguises herself as a layman and walks through Poplar. She even goes to a movie and has a snack, too.