This is the first of two Christmas-set episodes of the series, the other being the fourth season's "Operation: Silent Night".
The title refers to the song, "Thank Heaven for Little Girls", from the Lerner and Loewe movie Gigi (1958), performed by Maurice Chevalier.
As Magnum is discussing with the young ladies the possibility of taking their case, he asks in astonishment, "You're the ones who want to hire a private investigator?" and then breaks the fourth wall by looking at the camera. This is something Magnum will do a number of times during the run of the series.
Near the end of the episode, Rick mentions the Polaroid One-Step as "that thing from the James Garner commercials". Larry Manetti actually played alongside Garner that same year in "The Rockford Files".
When Magnum goes to the state capitol building to meet his potential client, the bells of the capitol are playing "Hark! The Herald Angels Sing!".