I saw the episode again recently, and also wondered about that dessert.
I did a bit of research, and found that it is actually called "Nesselrode Pie," and is apparently named after a 19th century Russian diplomat called Count Nesselrode.
It was very popular at one time in New York, and its ingredients include cream, gelatin, rum, and candied fruits. Below is a link to a site which includes a recipe.
If you try the recipe, let us know how you liked it!
www.thefoodmaven.com/radiorecipes/nesselrode.html