I named my daughter Kennedy so when I talked about how her brain was shot out of her head, people just thought I paid really close attention in history.
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Explanation
The humor comes from the dark and unexpected twist. The name 'Kennedy' brings to mind John F. Kennedy, who was assassinated. So, when the speaker mentions a brain being shot out, it's initially perceived as a historical reference. The absurdity arises when it's revealed that it's actually about their daughter, making the comment incredibly morbid and unexpected.