I'm not sure at which point in the video this is said (but thank you for the link anyway), but the phrase means, "I am more-or-less a non-local too." Not a complete stranger, fairly new to the area, yet definitely not a local.

The phrase is at about 1:36 in the video. It means "I don't know." "I'm a stranger here myself" is a stock phrase, almost an idiom. "I'm a stranger HERE" means "I'm not from VERY far away." Somewhere nearby is familiar territory I know well. I'm not a stranger there. But I'm a stranger HERE. Because A asks B for directions, B knows that A is a stranger. First B says "I'm afraid I don't know the way to Southgate Street." Then he politely explains himself by saying "I'm a comparative stranger here myself." If B just said "I don't know," it would be curt, abrupt, and impolite. Simple, direct, strong language sometimes sounds too assertive and slightly impolite. So it is common to weaken the phrasing for politeness. "I'm afraid I don't know." is softer and more polite. Adding a reason is even more polite, because he is suggesting that he'd like to help, and he would if he could. The word COMPARATIVE doesn't mean much here, it's just a way of weakening the statement even further. It COULD mean "I know neighborhood X well. This is neighborhood Y. I don't know THIS neighborhood well. I'm not a TOTAL stranger here. I know some of the streets but I don't know Southgate Street. So, IN COMPARISON to the neighborhood I know, I'm a stranger."