Covfefe is a term used in Call of Duty Modern Warfare 3 in survival mode. During "Survival Mode" wave after wave of attackers are heard to yell "Covfefe" during their assault on your character. President Trump may have heard this term while his son was playing COD MW3 Survival.
"Playing COD MW3 the waves of attackers yelling "Covfefe", is as stupid as the accusation the President colluded with the Russians."