I was at work once and Norm and some other guy came to my store. I told him that I thought he was really funny and he said no, his friend was really funny. I couldn't tell if he was fucking with me.
Some friends of mine talked to him after a show at a mid-to-low-level club a year or so after he'd been fired from SNL. They said he was chill and just shot the shit with them. So maybe he wasn't yanking your chain, and he just thinks his friend is funny.