Dont' know if you've found this, but he was under contract to MadTV, which was being cancelled when he auditioned for SNL, but the writer's strike necessitated Fox bring back MadTV because they didn't have enough scripted shows ready, and so he had to turn down Lorne Michaels, who probably regrets firing Finesse Mitchell every day of Obama's presidency.
If we all liked the same movie, there'd only be one movie!

Lorne's got his vendetta against MadTV. Literally. For a while he specifically avoided anybody who was on that show, it's the whole reason he "rejected" Artie Lange.
Finally he got over it for Richards and Killam though

Sticks and stones will break your bones, but a fifty foot fall wil kill y'all

His Obama impression is without a doubt the best I've seen. There was a commercial today featuring Obamas voice and I could barely tell the difference Jordan Peeles impression and the real thing.

Peele smokes Obama, and his narrative impression is so uncomfortably accurate that it truly makes Lorne's choice suspect. Please note that I'm a long-term fan of Fred Armisen and consider him to be one of the better SNL cast members over the years.