The device Jonny used at the Chicago Metro show is an electronic finger massager. It’s very similar, but not identical, to one patented by the Sharper Image in 1991. You can find the patent here, which includes a drawing. Here’s a sold eBay listing with one identical to the one in the patent.
The same massager from the patent is already listed on Jonny’s page, though I can understand how you might’ve missed the Other Effects section. So it’s interesting to note that the version used in Chicago was a later variation of the device with lights and an extra knob, and Jonny used both versions.
A photo of Jonny with the patented version of the finger massager (Valerie Phillips).
Jonny with the later version of the finger massager during Anyone Can Play Guitar at the Chicago Metro on April 4, 1996 (youtube).