Although this sounds like a bizarre claim, particular smells have their own individual receptors in the nose, and so, it would be possible to have epigenetic modification of the gene encoding the receptor for that smell. The modified gene then expresses extra receptors making the animal more sensitive to the smell. The researchers claim to have identified exactly that.
But how does the stressful experience, in the brain, target the correct gene, in a cell nucleus? Well the receptors are actually located not just in the nose, but actually in the olfactory bulb, an interface between the nose and brain. Hence the possible potential for a brain reaction to affect the locality of the gene for the receptor, possibly mediated by a hormone or microRNA. However it sounds a stretch, and not all researchers are convinced, even though the evolutionary advantage of inheriting individual scents of danger does make good sense.