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.