Businessman Tim Sheehy, who is vying for Montana Democrat Sen. Jon Tester’s U.S. Senate seat, did not do his campaign any favors by appearing on conservative Megyn Kelly’s podcast. Sheehy, a former Navy SEAL, has been under fire for claiming during his campaign he was shot in combat which has been disputed by a park ranger who recalled dealing with him and his wound after he accidentally shot himself during a family trip in Glacier National Park in 2015. With the cloud of where, when and how he was shot hanging over his head, host Kelly gave him a chance to clear the air on Friday and he seeme…