The pocket tester I have will work just stuck in the socket without anyone holding it.
Maybe sufficient capacitive coupling to ground? Presumably this is a 120V tester, so the series resistor would be a much lower value than for a 240V type.
when I rub the tip of this tester quickly on my jeans the lamp lights,
I would guess the friction is building up a charge, very much like the Van de Graaf generator you probably had in your school's physics lab.
I'm no expert on electrostatics, but I would think you could build up enough of a charge that way to excite the neon gas in the bulb.