Don't be a pri—hey!—Madonna.

He's using some wordplay between the words Madonna and prima donna.

Madonna — One of the vocalists of the song. (You know, the woman singing half of the song?)

Prima donna — 1. the chief female singer in an opera or opera company 2. a very temperamental person with an inflated view of their own talent or importance 3. Italian for "first lady"

So being compared to a prima donna isn't exactly a compliment.