The Muppet Show late According to my son, he (Pepe, that is) was never on The Muppet Show, but rather a later incarnation called Muppets Tonight.  Haven't bothered to Google this info, but it would not surprise me if David were indeed correct.
EDIT, post-Google:  David was right. Pepe appeared on Muppets Tonight and made his big-screen debut in Muppets from Space.  And, if you're interested, he is now the unofficial spokes-shrimp for Long John Silver's fast (sea)food restaurants.  He is a prawn but, "I can do shrimp." 

 See his audition for the spokes-shrimp position here: 
http://ljs.winnercomm.com/pepes_lounge.html