After attempting to lure Cooper into the storm drain – first by promising to deliver some of her signature outlandish quotes, then by showing him his greatest fears (which are Trump being reelected and Cooper getting fat) – Conway vanishes, and Hillary Clinton steps out into the darkness of the storm drain.
Clinton (also played by McKinnon, who just owns SNL's political voice) successfully lures Cooper in with a copy of her latest book What Happened, only for Cooper to get his arm torn off and then pulled into the depths of the drain.
Suddenly, Cooper awakes only to discover that it was all a dream. But was it? (Spoiler: nope, and SNL gave us this fresh hell to contend with before going to sleep.)