The Rockettes are the three female escorts often seen with Admiral DeGill. They appear to each be a different species of fish alien, but all are attractive. They appear more often in later episodes, and in most they appear in they are traveling the world and doing various fun activities with him, such as visiting the beach, while he gives Betty orders.
In The No-L 9, it is shown that they know martial arts and appear to be rather good at it. It is possible they are some species of alien fish, as when Zulia serves food with worms in it in The No-L 9, they are shown to be excited. They don't often speak and are usually heard squealing and giggling. When they do speak, it is in unison.