Vance was on SNL for just one season, in 1985. According to the "LA Times", she was the show's first black female cast member. She also might've been the first out lesbian in the cast. Vance was in a relationship with a woman, Jones Miller, when she died of breast cancer in 1994 at the age of 35. In her obituary, the "New York Times" euphemistically called Miller her "companion." The "LA Times" didn't mention Miller at all.
A "Mother Jones" profile of Vance from 1985 doesn't mention her sexuality. But The New Our Right to Love: A Lesbian Resource Book says Vance's "open lesbianism and feminism seem to have made her taboo on talk shows."
She sometimes played gay characters, like "lesbian recruiter" Bryn Mawr Smith Radcliffe Vassar (though apparently not on SNL):
It's not completely clear to what extent Vance was out, and a rep from SNL hasn't yet returned Shift's request for comment on the issue. But from the evidence above, it is clear she was funny.
h/t Taji Senior.