Quoted from LTG:

Hard to tell. You got a picture or anything ?
LTG : )

Quoted from Majdi:

Hard to tell for sure from that photo, but I think it might be a neon bulb.
Neon bulbs start to conduct pretty readily once ignited. You can use a lot less voltage to keep them lit once they've started.
Now, why is there one across an inductive load?
It's another way of suppressing inductive kickback and surges. Once the potential across the lamp exceeds its ignition voltage, it starts to conduct, and can eat the overage for you. Used to see this all the time on CRT power supplies in TVs and oscilloscopes and the like, and in installations with magnetrons (microwave systems, RADAR, etc.)
Since it's coupled with a MOV I'm betting that's the intention here -- and that looks like something a factory would do, since I doubt most pinheads would know about that approach.