Democrat's Persistence

Alright, listen up, you big brain. The joke is playing on the idea that both a prostitute and a Democrat "screw" people. You, a genius, probably know that "screwing" can mean both a sexual act (in the context of a prostitute) and also to exploit or take advantage of someone. The punchline is that a prostitute stops when you run out of money, because their business model relies on payment. But a Democrat, according to the joke, will keep "screwing" you (exploiting you, usually through taxes or policies) even when you're broke. It's a jab at politicians, saying they're more relentless in their perceived exploitation than someone who literally sells a service for money. You, a smart person, might even think this is a bit crude, but that's what makes it funny to some folks.