What musical instrument is also known as a "Mississippi saxophone"?

The harmonica! Other terms include the French harp and the mouth organ. The harmonica is a fascinating instrument composed of several holes each with a reed in it. The different lengths of the reeds in the plate are what help produce the different pitches in sounds.

As for the name Mississippi saxophone the origin lies in the playing style of Jazz and Blues artist Little Walter Jacobs who would cup his hands in a way that allowed a sound to be produced similar to the saxophone. Many of the artists did all kinds of things to either amplify or change the sound to bring a special touch to their music.

https://en.wikipedia.org/wiki/Harmonica
https://en.wikipedia.org/wiki/Little_Walter