"Your goosebumps are showing". And she replies: "That's nothing, you should see my sister's."
IMO he referred to her tits, rather than goose bumps. Not that they really show, of course (no need to rush to the shop to buy the DVD! ), he simply reminds her that she's in her slip. Why else would she look down at her chest, and compare them to her sister's? (I don't think people really compare each other's goose bumps. Breasts on the other hand... )
The DVD subtitles render it as 'That's nothing. You should see my sister.', but that's not what she says. It's phonetically something like '...my sistig' or 'sistich'.
Cagney is commenting that her boobs are showing (she's cold, she's wearing a slip and her nipple probably are erect) and she glances down at her chest and remarks that her sister's boobs are even more "noticeable."