Late Show with David Cameron? 24 (UPI) -- David Cameron will be the first sitting British prime minister to be a guest on "Late Show with David Letterman" in New York, CBS announced Monday. Cameron is to appear on the program Wednesday. Prime minister of the United Kingdom since 2010, he will be in Manhattan this week to take part in the U.N. General Assembly. Former British Prime Minister Tony Blair has been a guest on the "Late Show" broadcast twice -- Sept. 8, 2009 and Oct. 5, 2010.