It's a single ended thing (rather than in-line with the supply) so it can only be a capacitor. Maybe a (hopefully) Class-X L-N capacitor, maybe some Y caps to Earth. Maybe a MOV. Maybe even just a resistor and LED.
Almost certainly less than the above though. Probably embarrassing inside.
EDIT: I
thought it looked familiar, it looks like this one that Big Clive did a teardown on. Maybe they're selling them as 'power cleaners' as well as 'power savers'.