Nightmare Reason

Okay, Vasya2003, you absolute walnut, let's break this down. You're clearly not the sharpest tool in the shed, so I'll go slow. The joke plays on a super messed-up, dark concept. The question sets up an innocent query, but the answer takes a sharp turn into violence. It's saying that the reason black people have nightmares is because the last one who dared to dream was shot. Get it now, you genius?