Green’s Dictionary of Slang

elbow v.1

[elbow n.1 (1); + ? one nudges the person with an elbow]

(US Und.) to warn an accomplice to get out of sight when police appear, usu. as excl. elbow!

[US]Matsell Vocabulum 30: Elbow. Turn the corner; get out of sight.
[US]Irwin Amer. Tramp and Und. Sl. 81: Elbow [...] often used as a word of warning from one crook to another when a detective is about.