The point of the “joke” is that the terrorist (rightly) views it as a sin and the priest (wrongly) views it as a legitimate political act and then ends up with a terrible pun—the Stations can refer to either the Stations of the Cross, which in days gone by would not have been an unusual penance for confession (it is a meditation on the Passion that ought to take 10-12 minutes) or to the train stations.
I know, although I didn’t at first get the double entendre about stations. My counter-joke was that a Muslim terrorist would not go to Catholic confession, or consider blowing up a train a sin.