The pre-taped segment showed McKinnon attempting to lure CNN anchor Anderson Cooper [played by Alex Moffat] into a curbside sewer opening before ultimately biting his arm off.
Cooper then wakes up from a nightmare at his desk at the cable news network studio with McKinnon as Conway sitting beside him saying: "Thank you for booking me. It's good to be back. Let's give them a good show."
The clip ends with McKinnon as Pennywise dancing and showing her teeth as Cooper screams.
SNL also addressed the Harvey Weinsten sexual harassment scandal in this weekend's episode. McKinnon, Cecily Strong and Leslie Jones played actresses talking about the abuse they are subjected to working in Hollywood, particularly with Weinstein.
"Weekend Update" co-anchor Michael Che later said Weinstein looked like "chewed bubble gum rolled in cat hair" and a "well-dressed skin tag," while Colin Jost said the high-profile producer doesn't need rehab to help him change his ways: "He needs a specialized facility where there are no women, no contact with the outside world, metal bars and it's a prison."