Megyn has defended Trump. She’s not needling him; he’s just attacking her over and over again. He has no idea when to let go of that or of this Heidi thing or the citizenship thing (which he knows is a falsehood) or any of a number of other things he just keeps coming back to.
You missed the one earlier in the week? That was when she said “Well, here’s another candidate from that first debate who is saying he won’t support Trump if he gets the nomination. Trump thought the loyalty question was unfair; I wonder how he feels about it now?”
Complete and gratuitous non-sequitur. At the time of the first debate, Trump was being ciruitously and disingenuously singling him out. There was a conscious and underhanded attempt by Fox in those days to abort the Trump candidacy. It had the imprimatur of Roger Ailes himself, and Ruppert Murdoch himself.
So Megyn’s comment was definitely a needling one, and a smug one. And there have been similar asides (and broadsides) daily.