This is great :) I tried similar in the playground using Davinci-003:

Q: Can you explain why the joke 'What do you do if an elephant comes through your window? Run for your life!' is funny?
A: The joke is funny because it is a classic example of an unexpected punchline. The setup of the joke creates an expectation of a serious response, and then the punchline turns it into a lighthearted and humorous response. The unexpected nature of the punchline is what makes the joke funny.
Q: I don't think that's right... Can you think of any other explanations?
A: Another explanation as to why the joke is funny is because it creates an absurd situation. The idea of an elephant randomly coming through one’s window is so unlikely that it's humorous. Additionally, the joke is funny because it encourages the audience to imagine the ridiculousness of such a situation, making the joke even funnier.
Q: I still don't think that's it... Could it be a play on words?
A: It could be a play on words, as the phrase “run for your life” is often used in a serious context, such as when one is in danger. In this joke, the phrase is used in a more lighthearted way, which adds to the humor.

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I wonder if the fact that it converts words to tokens make puns harder to detect?