He was also suggesting Native Americans were the ones who originally had the STDs and gave them to the settlers.
Comment: Actually, the four "Indian" names "Columbus" mentioned were Little Cloud, Dancing Rainbow, Laughing Gonorrhea, and Radiant Syphilis.
The skit refers to the uncertain origin of syphilis. Some experts say it came from the New World via Columbus:
1) The phony, stereotypical female names. Especially the last two, which imply that being disease-ridden is what Native women were known for and all they were good for.
2) The cavalier way Columbus talks about sleeping with Native women. For all we know, he may have raped four Native women. The show didn't have to treat this intercourse as a happy-go-lucky lark with no consequences for the Natives.
3) Omitting the fact that the Europeans gave much more disease to the Indians than vice versa. Not that there's anything immoral about transmitting disease unintentionally, but it makes the transmitter look bad.
In this case, the skit reinforces the idea that Indians were dirty savages. In reality, the Indian were cleaner and perhaps healthier than the Europeans, who wallowed in disease in their filth-ridden cities.
All this is in addition to the basics: the false assertion that the Indians gave Europeans gonorrhea and the possible false assertion that they gave Europeans syphilis.
I wouldn't say this skit is a big deal. The references to Natives are relatively minor and oblique. They're worth noting only for what they tell us about America's cultural mindset. Namely, that Indians are fair game for belittling "humor."
For more on Conan O'Brien's attitude toward Indians, see Burial-Ground Joke on Tonight Show and Indian Casino Joke on Tonight Show.