The Late Show with Stephen Colbert Season 4 Lady Gaga, Caitlin Peluffo Season 4, episode 22 Lady Gaga, Caitlin Peluffo October 4, 2018 45 min Stephen welcomes singer Lady Gaga and comic Caitlin Peluffo. Previous episode Nick Kroll, Jodie Whittaker, Cat Power Next episode Ellie Kemper, Sam Elliott