In an earlier interview, Tur asked Mr Nunberg if he though special counsel Robert Mueller, who is investigating claims of Russian collusion, had anything on the President.
“I think they may,” he said. “I think he may have done something during the election. But I don’t know that for sure.”
Tur then asked how he knew that.
“I can’t explain it unless you were in there,” he replied.
Mr Nunberg has been asked to appear before the grand jury in Washington on Friday.
“I think it would be funny if they arrested me. I think it would be really, really funny if they wanted to arrest me because I don’t want to spend 80 hours going over emails I had with Steve Bannon and Roger Stone,” he told Tur.
Despite continued animosity between him and Mr Trump, Mr Nunberg said he would not co-operate with the “witch hunt” probe.
Mr Mueller is the special counsel leading the probe into whether the Trump campaign colluded with the Russian government to sway the election in his favour.
"I think that he may have done something during the election," former Trump aide Sam Nunberg says of President Trump, but adds, "I don't know that for sure." pic.twitter.com/4qpzxGcS2s
However in an earlier interview with CNN’s Gloria Borger he appeared to contradict himself while giving a defiant response as to why he wasn’t complying with the grand jury subpoena.
“Screw that,” he told her. “Why do I have to go? Why? For what?”
Mr Nunberg said he had already spoken with investigators for five-and-a- half hours last month and he wasn’t going back in.
He also said his move wasn’t to protect the President.
“No I’m not protecting him, but he didn’t do anything,” Mr Nunberg said.
“You know what he did? He won the election.”
Mr Nunberg instead said he believed investigators are trying to get him to implicate controversial Trump ally Roger Stone.
“They want me to testify against Roger,” Mr Nunberg said.
“They want me to say that Roger was going around telling people he was colluding with Julian Assange.”
Mr Nunberg said Mr Mueller’s questioning suggested he was looking into stories about the president and prostitutes when Mr Trump took his Miss Universe pageant to Moscow in 2013.
He also said the investigators insinuated that Mr Stone had collaborated with Julian Assange’s WikiLeaks group, which published documents hacked from Democrat Hillary Clinton’s election campaign in mid-2016.
US intelligence said those documents were illicitly obtained by or on behalf of the Russian government.
In a statement given to CNN, Mr Stone denied wrongdoing and said he has been a friend and adviser to Mr Trump for decades.
Mr Nunberg said: “Roger is my mentor. Roger is like family to me. I’m not going to do it.”
Russia denies the allegations and Mr Trump has repeatedly insisted there was no collusion between Moscow and his campaign.
Mr Mueller has charged several Trump associates and more than a dozen Russians.
The special counsel has demanded all of Mr Nunberg’s records and communications with people on the campaign, which he said would take too much time to assemble.
White House press secretary Sarah Huckabee Sanders downplayed any claims of misconduct on the President’s part.
“I definitely think he doesn’t know that for sure because he’s incorrect,” she said.
“As we’ve said many times before there was no collusion with the Trump campaign. He hasn’t worked at the White House so I certainly can’t speak to him or the lack of knowledge he clearly has.
“We are fully co-operating with the office of the special counsel. We’re going to continue to do so.”
Mr Nunberg completed his on-air meltdown with an interview on TV channel NY1 when he called Ms Sanders a “joke” and a “flat slob”.
“You know what if Sarah Huckabee wants to start debasing me she’s a joke, okay fine she’s not attractive she’s a fat slob,” he said.
“But that’s not relevant, the person she works for has a 30 per cent approval rating.”
Meltdown complete. Here's Nunberg calling White House press secretary Sarah Huckabee Sanders a "joke" and a "fat slob." Jesus. pic.twitter.com/BhVhGWvgqo