Just before that Ross heard an answerphone message where Rachel said she was 'over him' i.e she no longer had romantic feelings for him.
Being 'under someone' isn't a figurative expression in English. This phrase is a joke coming from the previous section of dialogue. If now Rachel is 'over' him, then at some point she must have been 'under' him ('under' being an antonym of 'over'), that is to say she had romantic feelings for him at some point. So Ross is asking when did she feel that way.