"Rudy" is a person's name. When said aloud, "It's Rudy never says please or thank" can sound like "It's rude (that) he never says please or thank you". The "that" is understood.

Knock Knock jokes would be very difficult for non-native speakers. Almost all of them are based on words that sound alike but mean different things. It’s Rudy never says please or thank you. It's rude he never says please or thank you They are mostly for children, adults use knock knock jokes to annoy each other

Rudy has nothing to do with the word "rude." It's derived from Rudolph. Rudy is used in the joke only because it happens to sound like "rude he." it's a Germanic name, and is derived from the words "fame" and "wolf." There are a lot of words in English like that. They sound like they are derived from one word, but are actually not related, so it can get very confusing. :-(

Name Rudy is derived from an adjective "rude". Rude people usually don't have a habit of saying nice things like: Thank you! You're welcome. Please., etc.