The exclamation, made in apparent exasperation as Letterman asked the singer about her famed Super Bowl "wardrobe malfunction," was edited out for broadcast, a show spokesman said.
Jackson told Letterman that her breast-baring, when a piece of clothing was yanked off by duet partner Justin Timberlake during the halftime show, "was totally an accident. It wasn't a stunt."
Another piece of clothing was to have been in place to conceal the breast from view, said Jackson, who conceded the maneuver wasn't rehearsed.
On the "Late Show," she wore a red dress that exposed cleavage and her navel, which was affixed with jewelry. Despite being booked on the first of a round of national television appearances to promote her new album, "Damita Jo," Jackson repeatedly told Letterman she didn't want to talk about the incident.
"You're going to make me relive this?" she asked. "I want to put all that behind me. I truly do."
She told the audience she was "sure you're sick of hearing about this."
"I'm not so sure they are sick of hearing about it," Letterman replied.
Pressing for further details, Letterman said it looked to Super Bowl viewers that the breast-baring was intentional.
"Oh, Jesus," Jackson said, according to an unedited tape of their conversation.
She said it was "very embarrassing to me, to have so many people see this little breast."
"Well...," Letterman said, indicating Jackson was doing some verbal downsizing.
The singer said she learned from the incident that she had reserves of strength like her mother.
Jackson and Timberlake's duet sparked a round of recriminations and complaints about broadcast standards. Jackson later canceled an appearance on the Grammy Awards. Timberlake appeared but apologized for the Super Bowl incident.
Jackson told "Access Hollywood," in an interview to be broadcast Tuesday, that she was "straight up asked not to go" on the Grammy Awards show. CBS has said Jackson would have been welcome if she apologized like Timberlake but she declined.
Asked whether she was still friends with Timberlake, Jackson said, "at some point, he and I need to talk."