Blanche makes this comment to Mitch when they are alone together in Stella and Stanley's apartment. Her has kissed her, which she says she liked very much, but also notes that she felt she had to "discourage" some other sexual advances he made, stating,
But, honey, you know as well as I do that a single girl, a girl alone in the world, has got to keep a firm hold on her emotions or she'll be lost!
By "alone in the world," Blanche means her situation of having no job, no money, and no place to go beyond her sister's tiny apartment. In this Southern world of the mid-twentieth century, Blanche especially alludes to the fact that she has no man to protect her. Later, she will famously say that she has had to rely on the "kindness of strangers."
Blanche is trying to appeal to Mitch's protective instincts by presenting herself as fragile, innocent, and alone. However, this is also an instance of dramatic irony, in which the audience knows more than a character in the play. At this point, although we don't know Blanche's full story yet, we know far more than Mitch does about how desperately alone Blanche is and how she feels she is in need of a husband. We will later find out how fully "lost" Blanche is for not having kept a "hold on her emotions," a euphemism for having sex, as she has been run out of the town of Laurel for promiscuous behavior.