Oh Moe! That one is very "corny." It's a play on corny jokes. If someone tells a corny joke in English, and it has a really bad/corny ending, friend will say bum, bum, shhhhh to imitate drums and a cymbal. Drums and cymbals are used by media and shows to indicate a "bad joke." Bum, bum, shhhh!

Yeah, Terry is correct; but, you have to be familiar with the sound and cultural reference in the joke to understand the joke. The sound is called a “rimshot.” You can get a sound clip on the net. Historically, it goes back to the days of vaudeville where comedians often delivered a lot of fast jokes and the rimshot punctuated the end of a joke; especially if the joke was “corny” or bad. Still used today.

Terry May is right. The first two elephants landed on the land and made a "bu-bum" sound, the third one landed in the water making the "shhhh" sound.

I am not sure but I guess the sound they made is funny!🤷