"C'mon, Sam. That costs money!" he quipped, cracking up the studio audience.
Moments after the show ended, Jackson tried to explain in a Twitter posting.
"I only said FUH," he insisted, adding that Thompson was supposed to cut him off with his second eruption, but "blew it!!"
Jackson's tweet was accompanied by a photo of himself looking mortified.
Besides Jackson, some of the stars dropping by for this special Christmas "SNL" included Alec Baldwin, Tom Hanks, Kristen Wiig, Jimmy Fallon and Tina Fey. The guest host was Martin Short.