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When Dill says this to Jem and Scout, he is talking about the moon. Scout (as the narrator) has just mentioned that there was a very big full moon out that night. Dill asks the two siblings if there is a cross in the moon and they tell him that only the lady is in the moon at that particular time.
What they are talking about is sort of folk traditions about what shapes you should be able to see in the patterns of light and dark on the moon. In modern US society, people sometimes talk about the man in the moon because there is supposed to be a face there. I have heard that the Japanese say you should be able to see a frog there. Apparently in Maycomb, you could see a lady and sometimes a cross.
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