"Colonial woman on the wing" - what is this??

A "Colonial woman" would be someone from the early colonies in the USA, mostly referring to ones like that of Jamestown, Virginia, formed in the year 1607.

They had the type of dress of the era and would be easy to identify if someone saw someone looking like one.

Wiig's character Annie hallucinated a woman looking like that, standing on the wing of the airplane.

Clearly that couldn't be a real thing so she's obviously gone a bit cuckoo from the booze and pills she had taken to calm down from her fear of flying. It's funny because it's such a bizarre, unexpected thing to imagine seeing.

It's a reference to the Twilight Zone, Nightmare at 20,000 feet.

http://www.imdb.com/title/tt0734600/

Also was done in Twilight Zone: The Movie.

http://www.imdb.com/title/tt0086491/

She was hallucinating bizarre images due to the combo of booze and Xanax, and as the other two have pointed out, she imagined a colonial woman and the reference to the classic Twilight Zone episode.

The fact that it was a colonial woman she was hallucinating was just supposed to be random and absurd, no real meaning otherwise.