This clip is from the cold open on SNL's 20th episode from season 42 that aired on May 13, 2017. In the cold open Alec Baldwin, playing Trump, and Michael Che, playing Lester Holt, re-enact the NBC Nightly News interview in which President Trump claimed he fired FBI director James Comey because of the Russian Investigation. At the start of the mock interview, Trump thanks Holt for having him by saying "Thank you for having me, Jazzman." Later in the same skit "Trump" calls Holt "OJ" and "Tupac." It's interesting to note Baldwin's "jazz hands" as he says, "jazzman."
SNL used this bit previously on the season 42 opener (October 21, 2016) in which Trump called Holt "Jazzman" and "Coltrane." Watch that clip here: • Trump on SNL Debate: "...