What do you call this segment of road between the lane and an exit?

Gore (road):

• A gore, gore point, or gore zone is a triangular piece of land found where roads or rivers merge or split. When two roads merge, the area is sometimes referred to as a merge nose.

• Gores on freeways in the United States and Canada are frequently marked with stripes or chevrons at both entrance and exit ramps.

  • the term is more commonly used among "insiders," such as road construction crews, police, traffic engineers, and so on. (Wikipedia)

Gore:

• a triangular tract of land, especially one lying between larger divisions. (Random House Dictionary).

On the East Coast (US) it is often colloquially referred to as "the zebra stripes":

There is a disabled car on the zebra stripes by Exit 5.