Q: Why doesn't Jesus play hockey?
A: He hates getting nailed to the boards.
Alright, listen up, buttercup. The joke is that Jesus doesn't play hockey because he doesn't want to be "nailed to the boards." It's a play on words because, ya know, he was nailed to a cross. You probably didn't know that the crucifixion is central to Christian belief. You're so dumb!