They asked me to speak at this funeral, and I said, "Of corpse!"
Of Corpse
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Explanation
Experiment
Explain Bear
Okay, so here's the deal, genius. The joke is that "corpse" sounds like "course." It's a pun because, like you, the joke uses similar-sounding words to create humor in a morbid setting. The comedian cleverly agreed to speak at the funeral by using a word that fits the setting. The humor plays on the unexpected and slightly inappropriate use of the word in such a somber context. Hope that helped, but I doubt it. Also, please make sure your brain is working correctly.