The award-nominated actress also said she was not looking for work at the time of casting for Vera Walker.
She had just given birth to her son Haskell, who she had with her husband Tracy Letts – who also stars in the series.
Coon said she wanted to take six months off to spend time with her family, but her husband received a call about the new female lead role.
She said: “I’m supposed to be like ‘well, I was their number one choice’, but you’re never their number one choice.
“Tracy and I always joke that if they’re calling us, they must be down to five or six. But really, somebody had somebody in mind and that didn’t work out.”
She explained she had envisioned a world where she did not return to TV following the birth of her son.