The joke is that such an anal insertion would seriously harm one’s insides, as the needles inherent to members of the Cactaceae family would shred one’s intestinal tract, leading to excruciating pain and rapid exsanguination via the rent anus and lacerations inflicted upon the rectum. Such an insertion would inflict nothing but unfathomable agony upon the one inserting such a spiky object into oneself, but the humor behind the joke stems from the contrasting juxtaposition between the deviant nature of such a fetish, the pain and mortal injury inflicted upon the deviant, and the deviant’s subsequent pleasure from the aforementioned self-mutilation and the resulting taboo. That is what’s so goddamn funny.