The interview itself mainly focused on promoting Nicole's new film Destroyer, in which she plays an alcoholic Los Angeles policewoman.
Things were going well until Jackie, 44, decided to end things on a 'lighter note' by asking about the cult following her wigs have attracted in recent years.
'I think there's a podcast dedicated to the wigs you wear in films, and I think a guy asked you about this at a press conference,’ Jackie began.
'He said something [like], "What's your favourite wig you've ever worn in your films?" And it did make me wonder... what is your favourite wig?'
A frustrated sounding Nicole replied: 'Well, I'm using my hair now, so... I think that's probably my favourite, is my own hair.'
The Lion star then quickly decided to cut short the interview.
'Anyway, I've got to go because they're waiting at the other radio station which I'd better not say on your show,' she said, before hanging up the phone.