Not OP, but there are at least 2 things going on here:
The first part is that the Jewish person is effectively treating this like an inside joke, where someone might not find it funny unless they were present in the situation that the joke references.
The second part to the ‘God not being there’ bit (which is what actually makes it funny imho) is basically saying that the holocaust was so horrible that God was clearly someplace else/asleep/absent to allow something like that to happen under his watch.
Not OP, but there are at least 2 things going on here:
The first part is that the Jewish person is effectively treating this like an inside joke, where someone might not find it funny unless they were present in the situation that the joke references.
The second part to the ‘God not being there’ bit (which is what actually makes it funny imho) is basically saying that the holocaust was so horrible that God was clearly someplace else/asleep/absent to allow something like that to happen under his watch.