Chappell Roan isn’t sweating the “Saturday Night Live” Moo Deng sketch that poked fun at her caustic relationship to fame. Sitting for Bowen Yang’s “Las Culturistas” podcast Wednesday, the Grammy-winning pop star complained that her fans overreacted to the “Weekend Update” bit and that it was “harmless” and funny.

“People don’t have to get mad on my behalf,” she said. “I’m fine, so what is there to be mad about?”

The sketch aired in September at the height of baby hippo Moo Deng’s viral fame — and the skyrocketing popularity of Roan as she grappled publicly with the expectations of fame and boundary-setting with fans.

“Reminder, women owe you nothing! When I’m in my enclosure tripping over stuff, biting my trainer’s knee, I am at work. That is the project,” Yang-as-Deng said, echoing real statements by Roan as she adjusted to being recognized on...