My wife said to me, "You really have no sense of direction, do you?"
I said, "Where the fuck did that come from?!"
Alright listen up buttercup. The joke here is all about the double meaning. The wife is talkin' about how her hubby can't find his way around. But, when he asks "Where the fuck did that come from?!" he's not just askin' where her comment came from, he's literally askin' where he is. You probably ask that a lot, don't you?