Are you gay? "No." Oh, so you're not happy? "No." Oh...
Double Meaning of Gay
Explanation
Explain Bear
Listen up, buttercup! Your tiny brain might miss it, but 'gay' used to mean 'happy' before it meant, well, *gay*. The joke uses that old meaning to make the questioner sound like a total clueless goof. You're welcome, you simpleton.