Why can't Sally swing?
Because she has no arms.
Knock knock, "Who's there?", not Sally.
Where did Sally go when the bombs dropped?
Everywhere.
Sally's Whereabouts and Lack of Limbs
Categories
Explanation
Experiment
The joke plays on the idea of someone lacking arms, and the dark humor comes from the follow up about Sally's whereabouts after the bombs drop, implying she has been atomized. It's a very dark turn.