A quetion about how an electric shock game works
We see later on in the video a clearer view of the handle of the jack in the box.
It has been wired with two separate pieces of aluminium foil, each connected to one side of the spark generator.
When you hold it with two fingers, one on each piece of foil, your fingers complete the circuit and allow a current to flow.


While not the reason for this, I want to correct a common misconception in your question:

since electricity always chooses the easiest path

This is not correct. A current will flow through all paths, with the flow being inversely proportional to the resistance of the path. If you connect a high value resistor in parallel with a low value resistor, current will flow through both - a larger current will flow through the low value resistor.