My girlfriend and I played Russian Roulette once.
We had sex afterwards even though she lost.
The humor comes from the dark and unexpected twist. Russian Roulette is a deadly game of chance where losing means death. The joke subverts this expectation by implying that the 'loss' in this case resulted in sex, which is a stark contrast to the deadly outcome. It's funny because it's so wildly inappropriate.
Lovely perv
HMMMMM SPOT THE THING THATS WRONG