I didn't know what he was referring to, so I did a search on YouTube and found it. And she's not performing in the background -- she's front and center. And she's basically dancing (largely in a "performance art" way). And it's tremendous.
(I just assumed it was something small and cute, since she was almost dismissive of it, joking that she's trained to dance by herself in her home, and how this came about as a joke. She'd made a quip about how she'd love to do something with the singer, and word got passed along -- until it came to "how about doing this on the Grammys?"
It's the Grammy-nominated song, "Chandelier" from the singer Sia. And it's basically an adaptation of the artsy music video which I tracked down, as well. That featured a young girl, Maddie Ziegler, and they expanded and re-choreographed it for the Grammys, working in Kristen Wiig who performs as a grown-up Ziegler (now 13) recreating her role from the video.
Here's that live performance on the past Grammy's. I've always liked Kristen Wiig. But I think it likely surprised even her biggest fans that she had this in her.