The cold open of this season's final episode of Saturday Night Live did a Sopranos-like take on Trump, featuring Alec Baldwin as Donald Trump, Kate McKinnon as Rudy Giuliani and Ben Stiller as Michael Cohen sitting in a New Jersey diner. Tonight's season finale of Saturday Night Live started in the familiar Holsten's Restaurant in Bloomfield N.J., the location of the series finale of The Sopranos.