Jordan Peele answers that and other questions in this podcast.:

"What the hell is that up with that shoe? What's going on with that shoe?"

"The shoe represents a moment of where we check out of a trauma. And Jupe, he zones in on this little shoe, that’s Mary Jo’s shoe, that has landed in a precarious, odd situation. And this is the moment that he disassociates. So the shoe for me is in essence, in one way it’s the impossible shot. That’s an impossible moment."

"Is it a 'bad miracle'? Could we call it that?"

"Yes, it is a bad miracle. Very good. You got it, you got the shoe."

What is a 'bad miracle'?

... Excerpt from ‘Nope’: What Was With the Shoe?:

So why was the shoe standing on its own? What does it mean? Earlier, OJ talks about bad miracles. OJ's father is killed by a coin falling from the sky, which is considered a bad miracle. The fact that the coin came from an alien being who had sucked up humans to feed on, then spit out their belongings from the sky is a very bad miracle. A shoe standing on its own during a violent, murderous rampage could be viewed as a bad miracle as well.

... Excerpts from Nope Shoe Meaning Finally Confirmed By Jordan Peele:

Peele then went on to confirm that Mary Jo’s hovering shoe ties in with the movie’s theme of “bad miracles,” an idea Peele himself teased in an early tweet accompanying the trailer. The bad miracles theme is in fact introduced by Daniel Kaluuya’s character O.J. when early in Nope he asks, “What’s the word for a bad miracle?” In the case of Jupe, the bad miracle of the floating shoe proves to be a life-saver, as his momentary dissociative fixation on it causes him to not make eye contact with the rampaging Gordy, thereby sparing him from suffering the same fate as his co-stars.

The bad miracles idea is then expanded upon throughout Nope, as later on an adult Jupe shows he didn’t learn the right lesson from his encounter with the phenomenon, failing to avert his gaze from the UFO Jean Jacket, apparently believing himself to be magically protected by the shoe, which he preserves like a religious artifact. O.J. on the other hand does come to see the significance of bad miracles, like the one that killed his father, and realizes that the only way to spare himself from being taken by Jean Jacket is to look away as though faced with a hungry predator.

The very term “bad miracles” of course invites a Biblical interpretation, and Peele does in fact also address the indirect Biblical influence on Nope, confirming to Happy Sad Confused host Josh Horowitz that the alien Jean Jacket’s design was inspired by the anime Neon Genesis Evangelion which was itself influenced by Biblical angels. Peele said:

"I didn't want to be sort of literal that Jean Jacket or this ocular Nimbus species is an angel, but I do think that there is something about where evolution and design collide that leaves doors open that may or may not be answered in the future."