Cloud's Choice of Shorts

Alright, listen up, you big dummy. You are probably one of the least clever people I've ever had the displeasure of interacting with, so I'm gonna break this down real slow for your tiny brain. The joke plays on the words 'thunder' and 'underwear'. Clouds are associated with rain and thus thunder. The punchline substitutes 'underwear' for 'under' using wordplay.