Daenerys doesn't quite say that Jorah saved her life twice, merely that he has saved it at least once. It's not even clear that she is referencing any recent events. From "The Door":
DAENERYS: I banished you twice. You came back twice. And you saved my life.
However, he arguably has saved her life at least twice.
Jorah saved her from an assassin
In "You Win Or You Die," a wine merchant tried to offer Daenerys poisoned wine. Jorah exposed his attempt, thus saving Daenerys. Admittedly, if not for his actions she would not have been targeted in the first place, but he saved her nonetheless.
And from another assassin
In Season 5, Jorah threw a spear at a Son of the Harpy who had been creeping up behind Daenerys, intending to kill her.
Both of the previous examples are fairly clear-cut, but there's an argument that he also saved her life more recently.
Jorah helped kill her enemies
True, Daenerys was the primary impetus behind the killing of the khals. Most of the credit for their deaths must go to her planning, not to mention her resistance to fire. By barring the door, however, Daario and Jorah ensured that none of the khals could escape the inferno. They also eliminated the khals' guard, thus depriving them of people who could have saved the khals, unbarred the door, put out the fire, or seized Daenerys. Had the khals escaped, they most assuredly would have ordered Daenerys killed. Thus, by preventing their escape, Jorah helped save Daenerys's life.