In the general case:
"Hold on", "Just a second", "Hang on", "Wait a moment" are inoffensive and appropriate for most conversations and people, and adding an apology and explanation afterwards lessons any possible offense. "Sorry, you were saying that ... [recap their last few words]?"
By apologizing and immediately repeating what they said - or the last part of what they heard - you indicate the conversation and their words are important to you, and you don't allow the interruption to further distract you or them.
In this specific case:
However, you are at a sporting event, with your girlfriend. You should have shared expectations of what will occur at the event, and that there may be times when it's appropriate to pay attention to the action and announcements, even in the middle of a conversation.
The above suggestion will work, but if the interruptions are frequent or fast paced, even "hang on" might not be fast enough to catch the announcement.
A frank conversation beforehand might be useful.
I'm here with you because I want to experience this event with you. Due to the nature of the event there will be lots of time for us to talk and pay attention to each other, however there will also be many times when unexpected action or announcements occur. When there's an interruption to our conversation that either of us wants to pay attention to, let's look away from each other towards the speaker/point of action and stop talking, maybe holding a finger up, then resume our conversation once the action or announcement has stopped.
If we do get into a conversation that shouldn't be interrupted, hopefully one of us will recognize it and suggest we have that conversation later when we can focus more on each other. I really want to avoid hard feelings due to a game interruption, hopefully we can both enjoy the game and each other's company.