Appearing on the Jimmy Fallon show Thursday night, Connolly said he had the opportunity to get behind the camera for this episode where he directed the sex scene between Adrian Grenier (who plays lead character Vince) and Grey (his love interest).
Host Fallon asked Connolly, “It must have been fun directing the scene?”
"I was the first one to get the script, and I was dead serious, like 'Alright, guys, we got a racy scene coming up,'" he said. "And she was like, 'Racy?' I was like, ' Well maybe not so much racy for you.' It’s about as racy as I’ve gotten,” Connolly quipped.
The actor lauded Grey as the most famous current name in porn and said she is in five or six episodes in this season’s show.
“She’s like the one who made a cleaned sweep of the adult awards," Connolly said.
But the actor admitted he was uneasy about the scene saying it was fun but particularly "awkward" even though Grey is an adult star.
"I wasn’t very happy about it. I was glad when that scene was over," he said.