Letterman replied: "Good for you, good for you, Prime Minister" before Key continued with number two: "We drive on the left side of the road, like the British and Lindsay Lohan".
Letterman then said: "And the number one reason you should visit New England... New Zealand.
Key nodded and said: "Unlike the rest of world, we still like Americans".
Mr Key said he and Letterman joked about the distance between the US and New Zealand, with the talk-show host saying that New Zealand was his favourite country that he has never visited.
Letterman has a fear of flying, but said he took a great interest in New Zealand.
Knowing Letterman was a motor-racing fan, Mr Key presented him with a Indy 500 champion Scott Dixon T-shirt.
Tourism NZ had pushed for a spot on the show so that Mr Key, New Zealand's tourism minister, could push the country's profile.
- NZHERALD STAFF