He was filming a new show for YouTube, I mean THE YouTube not his youtube.
YouTube are making a paid subscription tier called YouTube Red (lol) and part of that will be exclusive content produced by YouTube kind of like the Netflix model.

PewDiePie was filming his own web series, but he couldn't tell us or it would blow YouTubes cover on the subscription service.

What do you think the content is?
A Fear Factor style show that he hosts?