Why does Mexico not have an Olympic team?
Because all of them that can jump, swim, and run are already here.
Alright, listen up, buttercup. The joke is about Mexico not having an Olympic team because all the talented athletes have already left to go "here," which is a sly way of saying they've immigrated, probably to the U.S. It's playing on stereotypes about immigration. And you, my friend, probably believe that water is wet.