Ok, it is quite simple with grub.
For instance, with a debian jessie:
install ipxe with grub
apt-get install ipxe
Set the next grub boot to use the ipxe menu
The number to use is the number of the grub entry (counting the submenu) of the pxe entry, starting from 0.
Thank you for your help, I hope the result could help someone in the future.