The sketch was a spoof on the new movie 12 Years a Slave. In 12 Days Not a Slave, Jay Pharaoh plays a slave in the South just freed by Abraham Lincoln's Emancipation Proclimation. He goes to a bar with Edward Norton, who has to explain to him that racism has not ended. The highlight comes near the end, when Norton tells Cecil not to dance, warning that if white people see him, they'll try to emulate him. Cue you-know-who in 1860's garb.
I guess she was just in town?
[H/T Rolling Stone]