Word for non-malicious heckling

Banter: The playful and friendly exchange of teasing remarks

or

Badinage: Humourous or witty conversation

It's not clear from your example if this falls in this category, but there is a style of interaction between speaker and audience named Call and Response, which Collins defines as "a form of interaction between a speaker and one or more listeners, in which every utterance of the speaker elicits a verbal or non-verbal response from the listener or listeners."

It is particularly characteristic of African and African Diaspora cultures, and many people who are used to call-and-response settings will continue the response side even in situations where the speaker may not be soliciting or expecting that form of audience interaction.

Some of the following may be relevant, although several of the verbs have slightly negative connotations.
• chaff, “To use light, idle language by way of fun or ridicule; to banter”
• josh, “To tease someone in a kindly fashion”
• needle, “To tease in order to provoke; to poke fun at”
• quiz, “(archaic) To hoax; to chaff or mock with pretended seriousness of discourse; to make sport of, as by obscure questions”
• kibitz, “To give unsolicited or unwanted advice or make unhelpful or idle comments”

One who kibitzes is a kibitzer, “A person who offers unsolicited views, advice, or criticism”. Kibitzing during a speech is indeed a form of non-malicious heckling, although the speaker might prefer to do without extraneous advice.

(I'm including this as a separate answer because it covers an entirely different situation)

Outburst - a sudden, unplanned verbal interruption, usually motivated by a strong emotion.