Just checked....the answer is no, Garth Brooks has done it also, there may be others.
I'm pretty sure Justin Timberlake did it too.
Yeah, probably because you're a big fan.
<----- indicates I'm joking around
Don't forget, Britney Spears did it Twice!! She's America's princess!!
But seriously, here's a list from Wikipedia.
Musical guests who simultaneously hosted
The following performers have pulled a double duty as both musical guests and host during the same SNL episode:
Musical Guest Date of Hosting/Musical Appearance Other Notes
Lily Tomlin November 22, 1975 She is actually the first to host and be in the musical act, but the show was listed without a musical act. So she is not given musical act credit
Desi Arnaz February 21, 1976 He is the first performer to appear simultaneously as host and musical guest.
Paul Simon November 20, 1976
Ray Charles November 12, 1977
The Rolling Stones October 7, 1978 Are the only band to host and be musical guests on SNL (even though Mick Jagger, Keith Richards, Charlie Watts, and Ronnie Wood were the only band members to appear in sketches - Bill Wyman did not)
Frank Zappa October 21, 1978 Zappa's appearance (and general 'mugging') was so notorious he was, legend has it, never invited back.
Ricky Nelson February 17, 1979 Nelson proved to be a good sport by spoofing his TV sitcom image. He appeared in a Twilight Zone send-up in which, always trying to go "home", he found himself among characters from other early TV sitcoms: Leave It to Beaver, Father Knows Best and Make Room for Daddy.
Olivia Newton-John May 22, 1982
Lily Tomlin January 22, 1983 Appearing in the musical act also technically makes her the first to host and appear in the musical act twice. Though again the show was listed without a musical guest so she was not given credit. Tomlin appeared as Pervis Hawkins
Stevie Wonder May 7, 1983
Willie Nelson February 21, 1987
Dolly Parton April 15, 1989
Quincy Jones February 10, 1990 Jones' hosting stint had ten musical guests on one night, an SNL record.
Sting January 19, 1991 Sting also hosted in early 1997. He was not the credited musical guest but he did perform a few numbers.
MC Hammer December 7, 1991
Garth Brooks February 28, 1998 and November 13, 1999 He is one of only three performers to simultaneously act as host and musical guest more than once. Garth appeared in the second such episode as himself as host, and his alter ego Chris Gaines as musical guest.
Deion Sanders February 18, 1995 Bon Jovi was the credited musical guest, but Deion Sanders performed "It's On" and "Must be the Money."
Jennifer Lopez February 10, 2001
Britney Spears May 13, 2000 and February 2, 2002 At 18, she was the youngest person in SNL History to act as a host and musical guest the same time on May 13, 2000.
Justin Timberlake October 11, 2003 and December 16, 2006
Janet Jackson April 10, 2004
Queen Latifah October 9, 2004
Ludacris November 18, 2006
Jon Bon Jovi October 13, 2007 Jon Bon Jovi hosted, with Bon Jovi performing twice, and Foo Fighters performing once. It should be noted that although Bon Jovi performed, it was the Foo Fighters, not Bon Jovi, that was the credited musical guest
In addition, Christina Aguilera, who had previously appeared as a musical guest twice on April 8, 2000 and March 15, 2003, hosted on February 21, 2004, singing early in that broadcast. Maroon 5 was the musical guest for the episode, with two song performances.