That was one of the better jokes this forum has seen. For those who cannot understand subtlety I will try and explain it:
First of all they are lying in bed, there are only a limited amount of things a bed is used for, pick the one that comes to mind either before sleep or the second one after sleep.
Then consider the chicken with the satisfied smile, obviously enjoyed the experience. But the egg meanwhile does not look at all happy, as though they feel let-down.
And now consider the implication of what CAME first?
If you still don't get it then you are either very innocent or very intellectually challenged.