I think the joke gets lost in the translation...
In movies, all you hear is the punchline and then everyone laughs. I think it was along those lines.
Kind of like the joke about the sheep that Balki told:
“These three sheepherders want to find out who has the most beautiful sheep in all of Mypos. So they decide to bring each the prized animal to be judged by the others. And so, then the first one presents his sheep and the others said ‘This a very beautiful animal . . . so big, so white, so fluffy, good gums.’ So, the next one brings his sheep, even more beautiful. And then the next one presents his sheep . . . but it’s just a horrible looking animal! Skinny, dirty, wrinkled face. And they say this has got to be the most ugly animal in the world! And then the sheep looks up right into their faces and the sheep says, ‘You think I’m ugly? Well, I’m not!’”