I spent literally 20 seconds looking up the clip and he said:

“Last week, I did one of her last shows. I think, maybe Thursday or Friday. That was a big deal, being on Oprah’s show, the last one. And I was like, one of the last shows. In the last - that final week...”

Clearly he didn’t mean the show was “last week” as in it just happened, but it was “[The] last week” as he was interviewed during the last week of the show. It’s common vernacular to leave out “the” at the beginning of sentences, and even more common in New York where Trump is from.

It’s called an Ellipsis:

I’m not a fan of Trump, but leaving out specific context to make something seem like what it’s not is the very definition of fake news.