This is whats called an meta-joke. The initial part sounds like a joke.. the audience is waiting for the punch line and it never comes - which is why its funny (in an ironic sense). Its sort of like the joke is making fun of similar jokes without actually being a joke itself. Its hard to explain, but I hope you got the gist. A few random jokes in along a similar vein..
Whats worse than finding a worm in your food? Finding two worms in your food...
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An Irishman walks out of a bar..
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What's the difference between a Jew and a pizza? A Jew is a person adhering to the Jewish faith and a pizza is an oven-baked, flat, usually circular bread covered with tomato sauce and cheese with optional garnishes.