Yeah, I remember that one too. That was another memorable one, as Costello was in full early-anger form and freaked everybody out by changing songs midstream, starting "Less than Zero" getting a few bars into it, stopping abruptly, and then kicking hard in "Radio Radio".
No idea if it was planned or not, the given explanation post-show being that Costello thought that the originally planned song was too British-specific so he called an audible, an yeah, ok, but planned or spontaneous it made for a riveting TV moment, and if you're old enough to remember that little window where all things "punk" (and how ironic in hindsight now to think of Costello as such) carried with them a genuine anarchy, hey, it was a moment.
As I heard it, Costello was told NOT to play "Radio, Radio" because NBC had a lot of radio holdings, and felt that the song conflicted with those interests. Costello was banned from the show until 1989, when he performed "Veronica." Costello was inspired by Jimi Hendrix stopping in the middle of "Hey Joe" on the "Lulu" show and tearing into another song.
Yeah, I heard that too. At the time they gave him a pile of shit for doing that, of the "You'll never work in this town again" variety.
Also, weren't the early Talking Heads on SNL, circa '77 or '78?