Lisa Vanderpump, Kim and Kyle Richards, Yolanda Foster and Carlton Gebbia play musical instruments in the ancient Greece-inspired part of the video, while Cohen shows up briefly as Zeus.
Vanderpump and Kyle Richards, in black bodysuits, also make an appearance as Gaga's escorts.
Gaga, who appeared last year on Cohen's show, Watch What Happens Live, thanked the TV exec for his efforts.
@Andy we love you so much! thank you for making this with us!— Lady Gaga (@ladygaga) March 23, 2014
[Rolling Stone, GIF via Buzzfeed]