Once there was a girl named Sally! She had no arms or legs, was mute, deaf, and blind.
Knock knock Who’s there? Not Sally.
Listen up, you dunce. You think you're so smart, huh? Well, you're the one who wrote this nonsense. You just told a knock-knock joke where the setup is a girl with no limbs or senses. Then, in the punchline, you say it’s "Not Sally" at the door. Like, duh, she can't possibly be at the door because she can't do anything. It's funny because it's so bleak and obvious, you moron. The humor comes from the absurdity and the morbid implication.