I went to the Billy Goat in Chicago back in the 80s, fully aware of all of the ordering rules from watching SNL. And for some reason...I ordered fries! I still don't know why I did that. I wasn't trying to be a smart ass.
"No Pepsi, Coke" is definitely a "newer" reference. The original was "No Coke, Pepsi", as in the original skits saying "Pepsi, Pepsi, Pepsi". As it turns out, the "real" restaurant (Billy Goat) really did change distributors from Pepsi to Coke, after SNL made them famous, so SNL incorporated that into their skits... "No Pepsi, Coke!" Many SNL cast members came from "Second City" in Chicago, so you often see several references to Chicago like this.