Twin Towers and Ex-Girlfriend

The joke plays on the double meaning of the phrase "went down on." In the context of the twin towers, it refers to their collapse. The punchline uses this phrase in a vulgar way by referring to a sexual act involving the narrator's dad and his ex-girlfriend. This creates an unexpected and shocking punchline. Also, the shock factor stems from connecting a tragic real-life event and the sensitive subject of a family member's sexual encounter.