The U-Turn Committee
From Rocklopedia Fakebandica
Saturday Night Live. The video (which was directed by Noah Baumbach, surprisingly enough) parodies the breathless way some UK music writers talk about "underground" music.
Host Trevor (Bill Hader) mentions them as performers who have graced the stage at the Kennel Club in the Lower East Side of NYC, as well as:
The female member in the picture is played by Kristen Wiig.