Talk show host Conan O’Brien is in Death Stranding because this is a Hideo Kojima game and anything can happen.
According to Kojima, O’Brien plays a character called The Wondering MC, who gives you the Sea Otter Suit “when you get connected with him”.
This suit, which involves Norman Reedus’ character wearing an otter hat (is it a hat made to look like an otter, or an actual dead otter on his head?), lets you swim easily in the river, preventing you from drifting away.