I understand how keeping track of the general flavour of comedy choices in these cases can help, but if we go your down your road of selecting a skit for convenience and take it at face value, I’ll argue O’Brien has used the “my fame and the love millions of Americans feel for me” line as comedy trope far more often than any related to masochism. On that basis then Fe-HA, ILE. Yet I see as too simplistic (I’ll say nothing of your assumptions of erotic attitudes regarding bdsm because I’ve yet t read a serious take on it).
If I’m in the mood, I’ll watch some Conan and come back with anything I consider relevant to typing him.