It's a joke told by Groucho Marx, one of the Marx Brothers, an American comedian and actor from the 1930s or so: “One morning I shot an elephant in my pajamas. How he got in my pajamas I'll never know.” The joke is funny for exactly the reason you've pointed out.

That was a good one, Gyan. Misplaced modifiers often give rise to funny and bizarre meanings. Presumably, you were in your pajamas when you shot an elephant. So, it should be: "In my pajamas, I shot an elephant one morning." In this way, the modifier comes immediately before the subject it is meant to modify. Here's another one: The vampire surfed the Internet for potential victims with razor-sharp teeth. Now, who had those sharp teeth?

This is a common way to make a joke - another example might be 'car wanted for student with low mileage'

It is called a "misplaced modifier." And it is something that a good editor should have found and corrected. Unless, of course it was a small elephant and you have large pajamas. In which case, I have to ask whether shooting him was necessary. Couldn't you have just nicely asked for your pajamas back?

well, not really, come on.. Of course an elephant wouldn't be wearing your pajamas! But, yes, the sentence could mean that - so it could be made into a joke easily: "One morning I shot an elephant in my pajamas... how he got them on I'll never know!" or "... unfortunately the bullet put a hole in them so I had to get new ones!" :)