First, on a segment featuring Nicolas Cage and his clone (Andy Samberg), the clone praised the original:
Customer: No, I live off a settlement.
Salesman: You're a Native American.
Customer: Not on a settlement. Off a settlement. I got clipped by a city bus.
The first implies Indians are "cunning" even when they're stoic and stone-faced. I'm not sure how that's possible, but it's not a flattering comparison. You probably shouldn't compare anyone to a wooden Indian, or even mention wooden Indians, unless it's to disparage old stereotypes.
The second is just odd. People rarely if ever call an Indian reservation a "settlement." The word implies it's more of a voluntary choice and less of an incarceration than in reality. And 78% of Indians live off-reservation these days, although I wouldn't expect the average American to know that. People shouldn't be surprised to see Indians at cellphone stores, though they undoubtedly would be.
For more on Saturday Night Live, see "Pumps with Gusto" in Saturday Night Live and Maya Calendar in Saturday Night Live.
Below: Nicolas Cage in a headdress?