Well, first of all, in a tradition with SNL that's two decades old now or so, it wasn't funny, or particularly new. As the Babylon Bee jokes, pastors from the 1990s are berating Gillis because he's recycling their old sermon material.
For my part, I'm not quite sure what a prostitute typically looks like, so I don't have the basis for comparison that Gillis apparently does. ☺ I'd guess real prostitutes wear more outlandish outfits, heels, and in general look a lot less healthy than a typical spandex queen in the gym, though.
But seriously, while I can understand that showing more skin might be cooler--though full length tights and such would reduce that advantage, I'd think--I also am not a huge fan of feeling barbell knurling on bare shoulders (or letting the barbell slip because of my sweat not being absorbed by a cotton t-shirt), or feeling cold, clammy, sweaty vinyl on my skin.
So overall, short shorts & jogbra is not for performance, but for show, and I suffer from the "disability" that the only person who really needs to see the precise contours of my body doesn't need to go to the gym to see that. But for those who want to make a good impression in the gym, the main thought I have is that as a rule, beauty is the whole silhouette, not just the eye drawn to certain areas. So in that light, the jogbra/booty shorts combo may work against a lady.