Maya Rudolph, Martin Short re-create fake 'Windy City' cop show on 'Tonight Show'

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The Windy City Blue with Maya Rudolph and Martin Short

Jimmy Fallon admitted on Friday's Tonight Show that he actually worked with Maya Rudolph and Martin Short back in the '80s.

Rudolph and Short appeared on the show to promote their new NBC sketch show with SNL's Kenan Thompson, Maya & Marty, which premieres May 31, but got distracted reminiscing about their fabled ill-fated series.

The Windy City Blue, according to the late-night host, was "a gritty cop show set in Chicago," in which the trio played tollbooth cops, but "anytime any of us left the booth, it was so hard to perform the scene. It was just so windy in Chicago at that time," remembered Short.

The faux sitcom was tough to create because of the "record winds," as the three recalled (many times). They set out to prove the fact with a clip.

As tollbooth cops, Rudolph, Short and Fallon turned out to be pretty ineffective, as each time they left to chase a robber, the wind didn't let them get very far.

Watch the full clip below.

READ MORE: Jennifer Lawrence, John Oliver and Jimmy Fallon Play "True Confessions"

More from Fallon in the gallery below!

23 PHOTOS
Jimmy Fallon and The Roots
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Maya Rudolph, Martin Short re-create fake 'Windy City' cop show on 'Tonight Show'
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0243 -- Pictured: Host Jimmy Fallon, Madonna and The Roots during the Music Room segment on April 9, 2015 -- (Photo by: Douglas Gorenstein/NBC)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0354 -- Pictured: Musician Steve Turre performs with The Roots on October 27, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
PHILADELPHIA, PA - OCTOBER 26: Comedian, television host, actor, singer, writer, and producer, Jimmy Fallon presents The Roots with a Multi Platinum Plaque Award and The Philadelphia Music Alliance 2015 Walk of Fame Award at Philadelphia Music Alliance 2015 Walk Of Fame Gala at the Fillmore Philadelphia on October 26, 2015 in Philadelphia, Pennsylvania. (Photo by Gilbert Carrasquillo/Getty Images)
PHILADELPHIA, PA - OCTOBER 26: Jimmy Fallon presents The Roots with a gift at The Philadelphia Music Alliance Walk of Fame Gala at The Fillmore Philadelphia October 26, 2015 in Philadelphia, Pennsylvania. (Photo by Bill McCay/FilmMagic)
PHILADELPHIA, PA - OCTOBER 26: Comedian, television host, actor, singer, writer, and producer, Jimmy Fallon presents The Roots with a Multi Platinum Plaque Award and The Philadelphia Music Alliance 2015 Walk of Fame Award at Philadelphia Music Alliance 2015 Walk Of Fame Gala at the Fillmore Philadelphia on October 26, 2015 in Philadelphia, Pennsylvania. (Photo by Gilbert Carrasquillo/Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0322 -- Pictured: Musician Joe Bonamassa sits in with The Roots on September 3, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0321 -- Pictured: (l-r) An audience member and host Jimmy Fallon during Free Stylin' with The Roots on September 2, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0322 -- Pictured: Musician Joe Bonamassa sits in with The Roots on September 3, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0321 -- Pictured: (l-r) Singer-songwriter Justin Bieber and host Jimmy Fallon during during Free Stylin' with The Roots on September 2, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0311 -- Pictured: Sir Ben Kingsley with The Roots on August 12, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0300 -- Pictured: Singer Donn T performs with The Roots on July 28, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0267 -- Pictured: Keven Eubanks sits in with The Roots on May 20, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0258 -- Pictured: Musician Jeff Bradshaw sits in with The Roots on May 7, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0207 -- Pictured: (l-r) Musical guest Mark Ronson and Mystikal perform with The Roots on February 10, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0207 -- Pictured: (l-r) Musical guest Mark Ronson and Mystikal perform with The Roots on February 10, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0204 -- Pictured: The Roots perform on February 4, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- 'Super Bowl XLIX' -- Pictured: (l-r) James 'Kamal' Gray, Mark Kelley, Kirk 'Captain Kirk' Douglas, Frank 'Knuckles' Walker, Ahmir 'Questlove' Thompson, Tariq 'Black Thought' Trotter, David Guy, Ian Hendrickson-Smith and Damon 'Tuba Gooding Jr.' Bryson of The Roots perform on February 1, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- 'Super Bowl XLIX' -- Pictured: Musical guest Ariana Grande performs with The Roots on February 1, 2015 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0167 -- Pictured: Musician Anthony Kiedis performs with The Roots on November 20, 2014 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0151 -- Pictured: (l-r) Singer George Clinton performs with The Roots on October 29, 2014 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0116 -- Pictured: Musician Sheila E. plays with The Roots on September 3, 2014 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
THE TONIGHT SHOW STARRING JIMMY FALLON -- Episode 0078 -- Pictured: Actress Rosario Dawson poses with The Roots on June 18, 2014 -- (Photo by: Douglas Gorenstein/NBC/NBCU Photo Bank via Getty Images)
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