Cheri Oteri very much wanted to play Rocky's wife Adrian during Sylvester Stallone's monologue but it was decided that Chris Kattan in drag would be funnier.
In her 2011 autobiography "Bossypants", Tina Fey recounts that this was the first show she worked on after being hired as a writer on SNL. Her sketch idea wasn't picked, so she was assigned to help Cheri Oteri and Scott Wainio with their Rita DelVecchio sketch. Lorne Michaels gave Wainio and Fey the daunting task of asking Sylvester Stallone if he could enunciate a little more so it would be easier to understand him.
In his 2019 autobiography, "Baby Don't Hurt Me", Chris Kattan mentions that he wanted to ask Sylvester Stallone if he was interested in participating in a "Goth Talk" sketch, as he thought that Stallone dressed in goth makeup would be a pretty funny visual.
According to Chris Kattan Paramount pictures requested a Roxbury Guys sketch in this show to promote A Night at the Roxbury (1998), which had been filmed over the summer between seasons 22 and 23 of SNL.