In this case he does, it's just...

(That's Stormy Daniels when Kimmel asked her which one was most like Trump's.)

"...Well either you are closing your eyes to a situation that you do not wish to acknowledge, or you are not aware of the caliber of disaster indicated by the ~~presence of a pool table~~ disappearance of household pets in your community! Weeeellll you got trouble, my friend. I say, trouble right here in River City."

Oh yeah. If you watch the whole scene, it's great. He's holding it in the whole time. I couldn't even imagine trying to keep a straight face around those other three.

There's also a scene where Rick Moranis is in the background after he gets possessed and every time Bill Murray does anything physical, he copies him. Once you notice it, it's hilarious.