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I believe this is what is called an 'abandoned punchline'. TV and Movies use this to set up a reaction to a joke, without having to tell a full joke. Not only does this allow them to cheat, but it typically gets the viewer more interested because they feel like they missed something and will pay more attention.
This is very similar to a MacGuffin, where there is a mysterious plot device that is never explained. (e.g. - The briefcase contents in Pulp Fiction)
In short, we aren't supposed to 'get it'.
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