He was one of the people that accidentally killed Sarah and was one of the people that buried her body. He is seen trying to convince Sarah to let go of her rage and move on.
Now why would a highly successful comedian like Onan fake his own death? It makes no sense. Even for him and his strange sense of humor, that seems a bit too far for this to all be some kind of joke.
Perpetrator of Onan Co'Brien's murder suspected; Audience member whom Onan pointed out early in his last show may have been ringleader of assassination