It is an ANTI-JOKE. Here is an explanation from Wiki.
The prank involves at least two co-conspirators and a victim. The joke teller will catch the attention of the victim and announce his intention of telling a joke, perhaps stating that it would be particularly to the victim's taste.
The punchline of the joke will have been told to the co-conspirators beforehand, traditionally the phrase, "No soap, radio". After the joke teller says the punchline, the co-conspirators will immediately laugh uproariously, treating the joke as if it were, in fact, funny.
In effect, the joke is not to be found in the content itself ("No soap, radio"), but rather in how the victim reacts to the (unfunny) punchline of the "joke" as delivered by and reacted to by the conspirators.
The purpose of the prank is to make the one victim of the joke's telling respond with one of two results:
False understanding is acting as if the joke is humorous when in fact the victim does not understand the joke at all.
Negative understanding is expressing confusion about what the joke means and feeling left out. The victim may switch to false understanding after receiving facetious derision from the conspirators. Normally after some time of negative understanding, the prank is revealed in full to the victim.