"We got to meet him because of all of this and the first thing he did was point at Keegan and say 'I need a Luther'."
Key and Peele started working together in the mid-2000s after crossing paths at a theatre in Chicago.
Their sketch comedy show is in its second season and despite a shoestring budget by US standards, it's a high quality production.
In their two years making the series Key and Peele have shown a willingness to tackle political correctness with sensitivity.
They have manage to broach some raw topics - one such case was a slave auction sketch in which two slaves start questioning why they are not good enough to be bought.
"We are not doing our job if we are not pushing the boundaries in some way, but we are sensitive on how we do it," Peele said.
"That's something we take a lot of precision in and the best example is the slave auction sketch.
"Vanity overcomes them, because they are on an auction block and they are not getting picked.
"Slavery in itself is a very touchy and sensitive subject in the States and we were a little nervous about that one. We ended up finding something relatable and very human and you finish up laughing."
Being of African-American descent makes pointing fun at history a little easier for Key and Peele.
But even then they have their detractors.
Key said they have been criticised for poking fun at African-Americans because they are not "black enough".
"It's not that you are given carte blanche to do whatever you want [because you're African-American]," Key said. "There have been times when there are white people who maybe are afraid to criticise us and then we have African-Americans who say we are not black enough or we are not the white kind of black people who should be talking about black culture."
Despite their critics, there is one common thread running through the Key and Peele humour. The jokes that make it to television have to first raise a chuckle with the pair during pre-production of the show.
"When an idea is brought up, either by a writer on the staff or Key and I, and we find it amusing and it gets our goat and makes us giggle in our offices, then we feel it is worth writing," Peele said. "The stuff that makes us giggle, we can stamp Key and Peele."
TV preview
Who: Keegan-Michael Key and Jordan Peele
What: Their show Key & Peele
Where and when: Tonight Comedy Central 9.10; tomorrow 10.30pm
- AAP