The Golden Globe nominee, 43, was joined Saturday by pal Maya Rudolph and ex-boyfriend Fred Armisen during her opening monologue for the season 47 finale, after she announced her split from Armisen, 55, last month following more than seven years of dating.
Lyonne previously explained that the breakup came about after she spent the COVID-19 pandemic with Armisen at his Los Angeles home, telling The Hollywood Reporter they broke up because she "wanted a swimming pool."
"We love each other just about as much as two people can love each other and we're still talking all the time, but Freddy doesn't like a swimming pool," she said. "It might seem like a mundane reason for a breakup, but during that pandemic, you've got to get your laps — I'm like Burt Lancaster in The Swimmer."
"The truth is, I feel a cosmic connection to SNL. The people here are my real-life chosen family, I've been coming here since I was a teenager," she explained.
Armisen and Rudolph, 49, then joined her onstage, offering up their Natasha Lyonne impressions. "Yeah, we do really good impressions of you, just not when you're around," Rudolph said.
"You know, Freddy and I, we dated for seven years. We're the only couple who had a sex tape nobody wanted to buy," Lyonne joked as her friends left the stage.
Armisen later made a cameo in a parody sketch of 9 to 5, in which Lyonne played a male boss. After shooting him dead, Cecily Strong, Heidi Gardner, and Ego Nwodim propped up his body, Weekend at Bernie's-style, to get him through a meeting with some shareholders (Armisen and Kyle Mooney). The sketch ended with Armisen tickling Lyonne on the floor to confirm his death.
Kate McKinnon bid an emotional farewell to the show after 10 seasons during the cold open, which featured one of her most beloved characters, Colleen Rafferty, in one last "Close Encounter" sketch that saw the unlucky abductee leaving earth for good.
She boarded a spaceship with bright lights and fog, as well as some small inflatable aliens. "Well, Earth, I love ya. Thanks for letting me stay a while. Live from New York, it's Saturday night," McKinnon, 38, said one last time before the door closed.
Pete Davidson bowed out as well, paying one last visit to Weekend Update after eight seasons, where he mused on his crazy year and some of the best advice SNL creator Lorne Michaels gave him during his tenure.
"I appreciate SNL always having my back and allowing me to work on myself and grow. Thank you to Lorne for never giving up on me or judging me even when everyone else was and for believing in me and allowing me to have a place that I could call home with memories that will last a lifetime," Davidson, 28, said.
Additionally, a cut sketch featured Davidson parodying Eminem in a tribute to Michaels, with a cameo from the rapper himself.
As they held hands and announced "future trends," Bryant said, "In: 10 nice years." Yang, 31, added: "In: a friend I couldn't have done this without."
The segment ended with Yang and Michael Che carrying out a new trend at Bryant's behest, "My best guys kissing me." They both gave her a kiss on the cheek, as Che, 39, handed her a bouquet of roses.
Japanese Breakfast served as the musical guest for Saturday's season finale, performing "Be Sweet" and "Paprika" from their third studio album Jubilee, which dropped last June.