Context. During the past 100 years, helium emission lines have never been observed in RR Lyrae stars, especially in RRab-type ones where strong shock waves are nevertheless present in their atmosphere. Only recently have the observation of He I emission lines in 10 RRab stars and the detection of very weak He II emission in 3 of them been reported. All these stars are Blazhko stars, while helium emission has never been detected in non-Blazhko stars. Aims: We investigate the physical origin of the presence (or absence) of helium emission in the spectra of RR Lyrae stars, using a recent explanation of the Blazhko effect based on the interplay between two shocks occurring during each pulsation cycle. Methods: From high-resolution spectra collected with ESPaDOnS at CFHT, we report for the first time the observation of He I emission lines in the brightest RR Lyrae star of the sky, RR Lyr. Our observation was done just after a Blazhko maximum. We have also very likely detected He II emission. Results: The presence of He I and He II emission lines is directly connected to the shock intensity. Helium emissions only occur during the strongest amplitude phase of Blazhko stars in which an amplification mechanism of the shock intensity arises. This kind of hypersonic shock has not yet been reported in non-Blazhko stars because in this picture the intensity of their shocks is not amplified. Conclusions: The occurrence of helium emission is a direct consequence of the Blazhko effect. The greater the Blazhko amplitude, the greater the shock intensity, and therefore emission lines of helium increase. Considering the spectroscopic features observed (or not) in the RR Lyrae stars, we can define three hydrodynamic regimes: (a) the supersonic regime in which only hydrogen emissions are visible such as in non-Blazhko stars; (b) the weak hypersonic regime where the He I emission lines are also observed; and (c) the strong hypersonic regime with the additional observation of He II emission lines. These two last regimes only occur in Blazhko stars. Based on observations obtained at the Canada-France-Hawaii Telescope (CFHT), which is operated by the National Research Council of Canada, the Institut National des Sciences de l'Univers of the Centre National de la Recherche Scientifique of France, and the University of Hawaii.