Y’know, I re-read the original quote about three times, thinking that it was a lead-in to an “at least Catholics have rhythm” (ba-dum-tish!) kinda thing; then thinking that maybe that’s what he was aiming for, but just botched the set-up, leading to a nonsensical punchline; then realizing, that, no, he said exactly what he meant and thinks it’s funny.
At least I think that’s what he thinks. I can’t really get it to parse sensibly no matter how I spin it, so I’m just going to go with “WTF?”