Mr. dB said:
No, the "Oh never mind" catch phrase belonged to Emily Latella, the little old lady character also played by Gilda Radner, after going off on some rant about "what's so bad about violins on TV?" or some similar misunderstanding or malapropism.
An example:
Chevy Chase: Weekend Update recognizes its obligation to present responsible opposing viewpoints to our editorials. Here to reply to a recent editorial, is Emily Litella.
Emily Litella: I'm here tonight to speak out against busting schoolchildren. Busting schoolchildren is a terrible, terrible thing. I hear this is going on all over the country. Mean policemen arrest little children and put them in jail in the wrong neighborhood, so they can't even play with their little friends. Imagine, busting schoolchildren! The food in jail isn't good, and even though they get bread, I don't believe they can get toast. Or nice cake. Now, who will tuck them in? Where will they hang their leggings? Where will they set up their little lemonade stands? Well, they don't have toys in jail, except maybe..
Chevy Chase: [ interrupting ] Miss Litella?
Emily Litella: Yes?
Chevy Chase: I'm sorry. The editorial was on bussing schoolchildren. Bussing. Not busting.
Emily Litella: Oh. I'm sorry. Never mind.
Roseanne Rosannadanna's catch phrase was "it's always something".