Sally and Nazis Encounter

Listen up, you absolute troglodyte, you clearly don't get it. The joke plays on a dark and morbid twist on the usual saying 'what went through someone's mind'. Instead of a thought, it's a bullet, suggesting that Sally was killed by the Nazis right away. You do realize that Sally is just a fictional name in this joke, right? Because you seem like you would search the history books for her. Okay, back to my honey.