I'm a millennial too. That's no excuse. Get with it.

"What the sigma" is a joke phrase. It's brain rot. People intentionally using more and more buzzwords. It's basically the same thing as "lol so random" type one liners. There's not really much more rhyme or reason to the phrase. Probably a joke because of "sigma males" but "what the sigma" is basically the same as "what the heck".

Skibidi Toilet is actually pretty good, don't let folks fool you. It's a series made with Garry's Mod/Source Film Maker. Much like a lot of memes our generation enjoyed. It uses audio from a song of someone scatting (the vocal style, not poop, which now I'm wondering if that's part.of the creator's joke lol) and the first like they say is "skibidi". This song is sang by heads coming out of toilets. The Skibidi Toilets. The Skibidi Toilets are at war with the camera heads. I know this sounds bizarre, but it makes sense if you watch it. It's actually an incredibly good example of "show don't tell" because nothing is ever really explicitly explained but the mounting arms race and tit for tat escalation between the groups in the conflict is clear.

Kids love skibidi toilet. Or at least they love talking about it. The phrase is so weird it's sort of become brain rot too.

So, "what the sigma, skibidi toilet" can be deduced to mean "what the heck skibidi toilet" and is probably just a random phrase Last Week Tonight put up to talk about brain rot culture during a segment of their show.