You've got a SHO, Conan? He's got himself a SHO-Gun. You borrow a Bugatti Veyron? He's gonna borrow a Bugatti Veyron Grand Sport. Of course, even if this car doesn't belong to Leno, it's doubtful Leno feels any sort of envy directed at Conan because of a car.
No, it's probably his audience with an average age under 93 he's actually jealous about.