Trump responds: "No, no, I'm not talking about the pee pee because it didn't happen. Next question."
When another reporter asks about the scandal he tries to shift the conversation on to bringing jobs back to America only to launch in to a monologue laden with pee references.
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He said: "I'm going to bring back a thick stream of jobs. The biggest, strongest, steadiest stream you've ever seen. This country will be literally showered with jobs because I'm a major whiz at jobs.
"This will be a golden opportunity for me as president to make a big splash. Now whose with me? You're in? You're in? Next question."
A shirtless Vladimir Putin also makes an appearance in the scene. Disguised as a reporter, he holds up a video cassette with the words "Pee Pee Tape" written on it, asking Trump if Russia was really behind the US election hacking, a claim that the real Trump has consistently refused to confirm.
Baldwin's Trump then blames the hack on China, Canada and finally Meryl Streep. The sketch also mocked Trump's failure to attract any A-list celebrities to his inauguration ceremony.
After reeling off a list of performers Trump claims that Angelina Jolie, Jennifer Lawrence and Ryan Gosling are attending, adding: "They will all be at my inauguration ... courtesy of Madame Tussauds."
A number of stars have declined the opportunity to perform for Trump, with the latest, opera singer Andrea Bocelli, pulling out after he said he has received death threats.
Other musicians who refused to take part include Elton John, Celine Dion and Garth Brooks. The only African-American performed slated to appear, Broadway star Jennifer Holliday also pulled out this weekend citing pressure from the LGBTQ community.