humer or what? i dont understang, need help

hi guys, I was watching the movie "lucky number slevin" and I found a problem understanding what Slevin said. After searching it on the net, i found this:

For example, it is a drama when Goodkat, working with both “the Boss” and “the Rabbi,” appears mysteriously behind the two men’s plans. But it is a comedy when Slevin makes statements like, “I’m going to tell him what the man with two penises told the tailor when he asked if he tucked it to the left or to the right: Yes.”

the original dialogue is like this:

- I have to have my answer to The Boss in the morning.
- Oh, what are you gonna say?
- What a man with two penises would say when his tailor asks him if he dresses to the right or to the left.
- What's that?
- Yes.

I failed to understand Slevin's remark, could somebody help?