I thought at first that this was a twee joke, but it doesn’t seem to have been: everything else was perfectly serious. Why he didn’t say on a dʒiː string, as normal, I’ve no idea. (Anyhow, musicological pedants would insist on Air on the G String.)
Naming the letters of the alphabet in this way is something I’ve previously encountered only among primary school teachers and children learning to read, amongst whom it seems quite common to name the letters not eɪ, biː, siː, diː, iː, ef… but æ, bə, kə, də, e, fə….
I wonder what they do when they get to K. I think it would have to remain keɪ so as to distinguish it from C kə.
I have recently joined a male-voice choir. One of our warming-up routines involves reciting the letters of the alphabet, using their normal names eɪ, biː, siː…
(do) ˈA B C D
(re) ˈE F G
(mi) ˈH I J K
(fa) ˈL M N O P
(so) ˈQ R S
(la) ˈT U V
(ti) ˈW X Y
—but although we are British and would normally call the last letter zed, to make it rhyme we have to pretend to be Americans and say ziː.