I think something quick like "Hey coach x, I'm running out, but my daughter is here for her lesson" is fine, or a "Hey coach x, what time is our lesson again?" is fine. I always said hi when I'd see my coach coaching on the ice, but never a stop and chat moment, just a quick "hey coach! How are you?" and then continue on. If I saw her skater (only if I was friends with said skater) do something really well, I'd say so in passing, like "That looked great!!!" at which point coach would say "I know! She finally got it!" or whatever. But I never like people butting in on my lessons unless it's an emergency for more than a hello, so I try to do the same.
Non-skating related example: When I took voice lessons, I got to the classroom to see a note on the chalkboard that said "davinci, go pick up your little sister". I called my parents, and got no answer, and then my dad's office and got the one person they forgot to tell to not inform me why and found out my mom had been in a car accident. So I ran over to where my voice teacher taught, opened the door (tears streaming...) and interrupted the lesson and said "Mom was in a car accident, I have to go" and left. But that's the only time I've ever intentionally interrupted a lesson with more than a hello.
I think the next time that happens, and it lasts more than a quick exchange, politely ask your coach if you can make up those few minutes she was busy at the end of the lesson.