The Return of the Nana - S2-E21
Continuity mistake: Marissa's arms change position repeatedly while she and Trey are down at the beach. Also, her bag appears with her, even though she left the apartment without it.
Deliberate mistake: Lindsay is not at Caleb's funeral in the last episode of season 2, "The Dearly Beloved". It's unlikely that she would have missed it - she is still on good terms with him and he is her father, the only reason she left was to be with her mother, not because she didn't love Caleb.Obviously they didn't want to create another drama with having Lindsay there while they had to focus on the important story-lines - Caleb's death, Kirsten's drinking and Marissa shooting Trey.
Answer: She is referring the episode entitled: The Best Chrismukkah Ever, episode 13, season 1. She goes out christmas shopping with Ryan and gets stopped by a security when she is out by Ryan's car. He asks to look inside her bag and finds a stolen watch and some other stolen things.