Has nothing to do with the name and everything to do with Styx (drinking from the River Leith) and “sticks.”.
Dave Grohl is about to repeat the word and catches himself. For a moment he just stares at Conan in an angry disbelief and Taylor laughs nervously. Luckily the audience thought it was a joke and laughed. The co-host plays on the passe band humor and broke the tension by mentioning Air Supply. And Conan follows with the fictitious Josie and the Pussycats but sounds like he said Show Z or Show-sie. I do not know what it means now but back then the black arm bands were protest and remembrance for who we are and who we lost. Those that know-know.