Maybe you thought it was "so new" because you were unfamiliar with the Yiddish phrase "so nu," so your mind made "so new?" work in context, but it really doesn't. If that was the meaning, I expect Nathan would say "so what else is new?", the common version of that expression.
That said, I just Googled "Sue Me Frank Loesser lyrics," and whoever did the first transcription that came up typed it as "so new."