I saw that and he was joking. When the woman said she had spoken to Doocy, O’Reilly jokingly asked “Was he sober?”
Of course he said it in a joking way, but sometimes jokes are lighthearted and meaningless, and sometimes they are have a sting, reminding the target of something he might rather forget. This may have been made up from nothing...or maybe Steve showed up at O’Reilly’s show once after having a couple of drinks at a reception. Maybe we’ll hear more about this later.