What should I do if a verification code from my laptop is being sent to my stolen phone?

Reset it with the lender phone, then add additional ways of receiving authorization codes. You can do that by logging in to https://appleid.apple.com then edit the trusted phone numbers. When you get the new phone you can add it also.

You will have to use Apple's process to unlock your account, using the lender phone. Then you can log in on your computer.

If you did not set up a second way to get verification codes (such as another cell phone, a landline, a Mac, an iPad) you will have to ask Apple to reset your 2 factor authentication. See-->Two-factor authentication for Apple ID - Apple Support, specifically the section on regaining access to your account.

You will have the same problem with the new phone.

Thank you Lawrence, I was drafting a similar reply.

To the OP, if you're worried about what the thief might see if the verification code is being sent to your stolen iPhone, as long as they don't know your passcode to unlock your phone they can't see the code or do anything about it. At most they'd see a request to approve issuing a verification code, but they can't deny the request nor see what the code is. All they'd know is that you're trying to get into your own account, but they cannot do anything as long as they can't unlock your iPhone.