The former Emmerdale actress, who last weekend ran the Race for Life in Bolton, was recently quoted as saying that she would like to be cast in the hit AMC show.
"I never said I wanted a part in Mad Men," Pallett told Digital Spy.
"I never said that! I was asked what shows I'm a big fan of and I said Mad Men. No, I they asked me, 'What shows are you watching at the moment?' and I said Mad Men, and I said I'm a big fan of Smash.
"The American Sky Atlantic dramas, I really love them. I Sky+ them all and watch them back-to-back because I can't wait a week. I like to watch them in one go."
Of whether she planned to move to the US for her career, she added: "No, I don't think so. It's incredibly admirable when people do it. For anybody to leave their home and their job in any career path to go to another country is really fantastic.
"But as it stands now, I've not stopped over here. I think there's a lot to be said for the British television and film industry. I'd quite like to stay on my own turf for now.
"You never say never - there's a lot of casting over here for American things and vice versa, so you don't really have to go out there. It's just not something that's been in my line of thought."
Regarding her recent part as an alcoholic schoolgirl ten years her junior in Waterloo Road, Pallett said: "It's a massive compliment, especially for a woman, for people to say you look ten years younger. But I'm used to it, because I get asked for ID everywhere I go. Everywhere.
"Also because I'm a lot smaller. I'm 5 foot 1 and I've got a baby face. It wasn't a shock because I'm forever being told I look younger than I am, but yes, it was a great compliment."
She added of the role: "I loved it, and it was just such a lovely cast and the people that I worked with were fantastic.
"It was lovely to go from Emmerdale and the domestic abuse and the feisty Jo Sugden to a real fragile, vulnerable schoolgirl. It was really nice to get my teeth into such a contrasting character. It was good fun going back to school!"
To sponsor Pallett at the Race for Life, text her personal code ROXY82 and an amount to 70070. There is no cost for the message and 100% of the money donated goes to the charity.
JustTextGiving by Vodafone is the official donation partner of Race for Life. To start fundraising with a free personalised text code, visit Vodafone.