Vinyl is a fake leather. The joke is, she would do it on the couch with many materials.. but maybe not that one. Jessie, try Seinfeld. I would much rather answer Seinfeld questions! hehe.

It means that unlike soft leather, a hard vinyl couch would be a very uncomfortable place to have sex.

It's a synthetic material, so what it means would depend on the context--it could be furniture, flooring material, LP records, almost anything. http://en.wikipedia.org/wiki/Vinyl_%28disambiguation%29 Here, she is referring to the fact that the couch is surfaced with vinyl. I'm not sure why she thinks it is weird, maybe just because vinyl is a slippery,cold material, but also more likely because vinyl clothes are associated with "fetish" sexual lifestyles (kink, BDSM, call it what you will) in western culture, maybe the association of the material with sex is too "weird" for her!