As you've probably realised by now, the name given in the third line of 'Knock Knock' jokes doesn't mean anything at all. It's just there to provide a homophone on which to base the (usually groan-worthy) punchline. This one doesn't quite work. 'New' could be 'knew', as Peachey suggests, and 'Hampshire' is maybe meant to sound like 'I'm sure' --> 'I'm sure you're not going to open the door', perhaps?

"New/Knew". The part about Hampshire is not important.