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
grub-reboot 2
- Reboot !
reboot
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.