hedwards: Licensing could be an issue, but I think this most likely falls under parody, and anyways I doubt very much that Conan would say no if they offered a small slice of the pie or they made it clear that he wasn't endorsing the game if he isn't.
I think "CONACO" is Conan's own company, and the owner of his likeness. Turner Broadcasting has more of a stake in his show, but not necessarily in what he does outside of it.
Conan is a needy little bastard, and has said often (though probably in jest) that he'll take any cameo role he can get. He'd probably cream his pants at the chance to work with Curt Schilling, and while somehow "obligated" to take a fee of some kind for his work, would probably do it
gratis.
The difficulty in licensing would probably come in making the quest if it involved battling a Leno parody or something.