I have seen something similar in my LYS and it was lace-weight yarn, very fine and thin and almost looks like thread. Perhaps another possibility would be reinforcing thread/yarn for socks? Or, there is also something called 'carrying' yarn that you knit along with another thicker yarn.
~Knit for Charity~
"that their hearts may be encouraged, being knit together in love" - Col. 2:2
TXMcKnitty on Ravelry