Letterman held up two pictures of her. With the first, he asked "what are you doing here?" I expected her to reply with the names of the role she was dancing and the ballet (It looked like Gamzatti in La Bayadère *), but she simply replied with one word, "arabesque". Maybe that was enough for a late-night general audience, I don't know.
The second picture didn't do her justice at all. It was of her in a lackluster pose as Odette (the audience laughed when she said she was a "swan queen, a good one"), her legs partially concealed by the rock at the lake. She explained that she was about to jump on the mat. She didn't mention that Odette jumps to her death in the lake, and it was Letterman who extrapolated that the mat was the lake. That's when he asked whether it hurt to go face-down on the mate every performance, and she giggled, "yes", in response.
I'm glad they showed a short video clip of her dancing (twice) so folks could see how wonderful she is in action.
I hope this doesn't mean it'll be a long time before he attempts to interview another ballet dancer!
* edited to say: In rewatching Part on Letterman via youtube, I see that she is an Odalisque in the first pic and that the ballet is Le Corsaire.