can someone explain the game these ladies are playing here?
It’s not a game but a play on words, a practical joke.
In Spanish, music is “touched,” not “played.” The host says “le vamos a tocar la pipí a Coco,” which Coco understands as “we’re going to touch Coco’s peepee” (ie, her crotch). Then they all stand up and what they do is sing “peepee peepee peepeepeepeepee” to the tune of “a jolly good fellow” - that is, “they all make music for Coco saying peepee.”