The humor from the joke stems from the over-the-top response to the assertion that the speaker is straight. The fact that the response is so comically inappropriate is supposed to be the source of the comedic effect. The joke also derives from the popular meme format "big talk from someone within X distance." You'll also notice, if you pay close attention, that the speaker in the joke does not actually engage in any sexual acts with the other character, as the speaker obviously never intended to have sex with their friend, but only to remind them of their unchanged sexual orientation in a humorous way. The joke is not about the act being threatened, as the act itself is never intended to be a serious threat or acted upon, but rather about expressing frustration through sarcasm with having one's sexuality assumed, you half-baked loaf of butter bread.
A few resources for you:
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