I didn't see the skit, but if this is a fair representation, then the point of the skit was clearly not to suggest incest in the Palin family; it was to imply the mendacity/gullibility/partisanship of the NYT editors for whom this is a reasonable exchange:
Reporter: “What about the husband? You know he’s doing those daughters. I mean, come on. It’s Alaska.”
Editor: “He very well could be. Admittedly, there is no evidence of that, but on the other hand, there is no convincing evidence to the contrary. And these are just some of the lingering questions about Governor Palin.”
Then again, this might be SNL's "New Yorker Moment": you remember that New Yorker cover art of Obama-as-Muslim? Intended as a lampoon of the rubes who think Obama might be a Muslim, the Obama people didn't think everyone would get it. Likewise, considering the "Trig trutherism" still circulating, this is exactly the kind of hoax that Andrew Sullivan would totally fall for.