Beau of the Fifth Column has a great way of dealing with this sort of bigoted joke actually, “Huh? I don’t get it. What’s funny about that? What’s the joke?”
And just like… watch them realise they can’t explain it without sounding like a monster.
And to anyone who would say that jokes are like frogs, you can’t dissect them without killing them: you’ve never seen a good comedian break down a joke. It is hilarious, it’s all in the telling. If you need to rely on shock to get your laughs then you’re not actually funny. You fell into the shock-jock trap of “oh that got a reaction; that must be funny”, not realising that people also laugh when they’re uncomfortable, and all you’re doing is being an asshole.