The SNL brand isn't stand-up or improv, though. If you call it "SNL", people will expect sketch comedy.
I think a restaurant themed to SNL, with props on the walls, a la Hard Rock, will generate the most traffic and money. Add in some TVs that play SNL clips, like in the Simpson's Fastfood Boulevard.
You can turn multiple tables per night in a restaurant, comedy clubs rely on a cover charge and drink minimums because they can't turn tables.
Comedy, even SNL, has a limited audience... food targets everyone.