Cutting It Out

This is a pun based on the double meaning of 'cut it out.' Person 1 wants Person 2 to stop making jokes about suicide, and Person 2 jokingly says they will 'cut it out,' as in stop, but also using 'cut' in the context of self-harm. The second part, "they're not even that deep" is a continuation of the pun using 'deep' to further enhance the reference to self-harm. It plays on the dark humor of the situation.