I think it's an early walkie-talkie. Just a decade after this footage, several inventors were starting commercial production of portable two-way radios, and so

I think it's an early walkie-talkie. Just a decade after this footage, several inventors were starting commercial production of portable two-way radios, and soon after they were widely used during the war. A decade earlier Tesla had built and operated a two-way wireless radio station with trans-atlantic range, which the US Marines destroyed thinking it might be used by German spies. Tesla himself was still alive and working when this film was shot, and he would have been motivated to create a secret, portable and concealable version of his radio. I suspect that the bulk of the figure in the film is covering a backpack device and antenna under a large coat. That would make this rare and valuable footage and evidence of an early prototype, but nothing outrageous for the time.