The comedy skit in which Trump pretended to harass then-mayor of New York City Rudy Guliani was part of the Mayor’s Inner Circle Press roast, a comedy event.

The drag character, Rudia, had debuted three years earlier at the event when Giuliani appeared on stage in front of 2,000 people in and sang “Happy Birthday, Mr. President” in falsetto.

Giuliani later campaigned for Trump and worked as his personal lawyer.

Business Insider – Donald Trump once stuck his face into Rudy Giuliani’s chest for a drag-queen comedy skit — and the video refuses to die
The New York Times – Jaws Drop As Giuliani Steals Show In Heels