If you recall the sequence, Melina is at home with the girls when Alexei tells her the news that they’ve been caught and have about an hour to flee the country. While Natasha seems to comprehend that there’s something wrong, little Yelena is really too young to understand what’s happening. When they get in the car, Alexei and Melina are clearly upset but try to hold it together for the kids — partly from affection, but partly to keep them from getting upset and blowing their cover. As they drive, Yelena asks for something, and that request came from Harbour’s suggestion. He explained:
“We were sitting around talking about the family structure and in the bedroom scene with Red Guardian and Yelena Belova, my character is fumbling trying to be a father and in the end, he fails. She tells him to get out. In the script, he says something and leaves.
“I felt there’s gotta be something a little more profound and I said, ‘Wouldn’t it be interesting if back in America when she was little and was terrified having been taken from her family the Red Guardian would put her in the car and drive around and play ‘American Pie’? So from then on, she tells daddy to put in the tape.'”