"You're not going to believe this, but we're not close friends," Schumer began.
"So…I have not heard anything. I think she sleeps in a beautiful tower covered in ivy, nursing her baby, and she's definitely never heard about our stupid scene."
During the hilarious late-night show, Hader also joked about calling Schumer "Amy Lake Blively" during the segment.
The sarcastic skit originally aired on Inside Amy Schumer back in May, and immediately caught everyone's attention.
But back to last night…Schumer also reenacted a scene from Real Housewives of New York alongside Judd Apatow and Hader.
Schumer hilariously nailed her impersonation of Sonja Morgan, while Apatow and Hader did their best Countess Luann de Lesseps and Bethenny Frankel impressions, respectively.
Chaos ensues, and at one point, Schumer even calls Hader out for not speaking like the beloved Skinnygirl mogul.
"I have no idea who she is," he admitted while holding back laughs. It's the gift that keeps on giving, really.
(E! and Bravo are both part of the NBCUniversal family.)