I think the Hall and Oates parody is the one I was thinking of. It was on SCTV, which the two women in the video are: Andrea Martin and the actress who played Kevin’s mom in the Home Alone movies. I remember it was titled “Chariots of Eggs.”
Catherine O’Hara. She was on SCTV, then she was hired to be on SNL, but she left SNL and went back to SCTV before she ever appeared on one episode.