One's Got Class and the Other One Dyes - S3-E4
Corrected entry: As Lorelai and Luke are leaving his apartment after she made him change his shirt when they're going to talk at the school, she tells him that Jess has a girl in the closet. Jess later confirms that it's true and that the girl is Shane. At the same time Shane is working at the beauty shop, selling hair dye to Lane. We see her both before and after she's supposed to be in the closet (since Lane freaks out and dyes her hair back to black), so there's no way she could have got off work and gone over to Jess after.
Correction: Lane actually buys the hair dye the day before. Notice that Rory is wearing her Chilton uniform and Shane has on a brown shirt. The next day, when Rory goes back to buy the black dye, she is in jeans and Shane has on a purple shirt. This takes place after Luke and Lorelai have left for the school. So, there was plenty of time for Shane to leave Jess's closet and go to work.