Inhaling helium while swallowing liquid is a choking hazard. The Origin of the Myth
Helium is not soluble in liquid like CO2 (bubbles) is.
These are edited clips or the actors are inhaling helium from a hidden balloon before taking a sip of regular wine.
Wine infused with helium is a and a popular internet prank; it is not a real product you can buy. Why It Doesn't Exist