According to Cambridge Dictionary,
they should worry! (humorous)
said about or to someone who clearly has no need to worry:
She should worry! She hasn't a problem in the world.
How come? Is it ironic? Could you please give another example?
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This question is answered in the topic linked in the comments (The many functional uses of "should"), but it is a minor subset of the larger issues covered there. In particular, from the OED quote section,
d. Used ironically, expressing the inappropriateness or unlikeliness of the action advocated or state envisaged, as I SHOULD WORRY, there is no reason for me to worry, I am not worried. colloq. (orig. a Yiddishism).
The use can be ironic or sarcastic. It is colloquial and /or dialectic, rather than literal.