Is it pull request or comment at pull or something else?

Coverage means "code coverage": the amount of code covered by the unit-test cases.
As seen in this issue, each GitHub project can chose to add as a comment to a PR any additional relevant information (like code coverage for instance).
Continuous Integration system, like for example Travis-CI, can process pull requests, and add comments to them depending on the result of the build done by Travis.
This blog explains what coverage means in GitHub pretty well.
Here is a section from the blog:
Code coverage is a measure of how well you are testing your project. If a project has 99% coverage, that means that 99% of the lines, functions and/or branches of the files included in your tests are covered by tests. A line, function or branch is covered when said line, function or branch is executed in one or more of your tests.
Here's a link if you want to know more about tests.