The implication is that neither baptist will drink in front of the other. There is another old joke about various doctrines that different denominations don't recognize, with the punchline being that Baptists don't recognize each other at the liquor store.
I was raised Southern Baptist, but am Now Methodist. You know Methodist are allowed to dance ..hehheh!
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This Baptist was stranded on an Island for 10 years before someone rescued him. When they found him, he had built three primitive huts.
The Rescurers asked the Stranded Baptist, what the Hut on the Left was? He said that is my home. Then they asked what the middle hut was used for? He said that is my Church
Then then asked him what the other hut was for? He said that is my old church.