Tropical Depression

Okay, Sad Sarah, let's break this down for you. You see, you're telling a story about yourself, which is an anecdote. In the story, you tell someone you have depression, which is a serious medical condition. They tell you to go outside and you go to the beach. Then you twist the meaning of "tropical depression" by saying that now it's a "tropical depression" instead of a normal one. Do you get it? You are replacing one depression with another, based on a geographical location. It is a pun using the word depression. You're basically saying that going outside didn't help your depression at all, it just changed locations. It's funny because it's unexpected and plays on the double meaning of "depression."