I think he is using harmonics to get what I call “whistling” on the violin. I like that phrase better because it seems to be the best way to explain it to someone who doesn’t play strings. Grappelli likes to add a whistle or two in his pieces and I have come to think of them as his signature. Other violinists use “the whistle” but when they play it, I think of it as harmonics (by their technical term). When Grappelli plays harmonics, it’s a whistle because it just sounds like the most logical thing to do in the piece but also unexpected and beautiful. It’s natural. It doesn’t sound like it’s forced. His use of the harmonics just sounds like it’s part of a conversation. Maybe a sigh.
I think he does it here at 3:16. There are also other pieces out there where he whistles more on the violin.