I'm 99.9999999999999 sure they brought that idea to the table...
I think the ONLY reason Dave wouldn't do it at this point is because the OG has gained such legendary status that he wouldn't want to put the pressure on himself to live up that legacy. Also I'm not sure if he'd want to work with Neal Brennan again.
That said, I was thinking that the SNL skit with the characters was his way of testing the waters to see if the level of interest. Since his SNL skits were praised universally he might be tempted.
Who owns the rights to the characters?