"I think we're lost," he kept muttering under his breath.

under 的意思是"在...下面"，这里表示声音很低。 his 是代词 he 的所有格形式，意思是"他的"。 breath 的意思是"呼吸"，这里指"气息"。 under his breath 是一个固定短语，表示"低声地、小声地"，字面意思是"在他的呼吸之下"，形容说话声音很小几乎听不见。