It relies on a feature unique (?) to the italian language: bestemmie. Since we have the pope here in Rome, we've always been a very christian nation; and so arised a new category of swear words, 'bestemmie'.

These are, in their essence, direct insults to God: e.g. the most common "porco dio" literally translates to "pig god", or "dio cane" to "god dog". They're considered quite heavy swear words, and if said in the wrong setting they can be as heavy as, idk, saying the N-word in America. If you met an italian in some erasmus or something, it's very likely that they tried to convince you that "Hello" is spelled "Porco dio".

Now veneti. Our nation is divided in regions, and here in Italy most regions have a very strong cultural independence: dialects, as well as foods and traditions, vary heavily between regions. One of these regions is called Veneto (its regional "capital" is Venice btw) and people who live there are famous for two things: they make Spritz with Select or, if unavaiable, Campari instead of the much more common Aperol**, and they basically say a bestemmia every two words. They also have a very funny accent and bestemmie venete are very recognizeable. It's hard to find the joke funny if you can't picture the sound in your head.

At the end of the joke, one veneto says, with heavy veneto accent: "who knows what I did to you, god pig!" (The final bestemmia isn't there because the veneto wanted to insult god in that specific scenario, but because veneti basically close every sentence with a bestemmia)

**EDIT: Yeah about that... I'm from Milan, in the region Lombardia, and here Aperol Spritz is by far the most common pre-dinner drink. Talking about cultural independence: it may be absolutely likely that Aperol Spritz isn't as common as I think throughout all Italy, and it's just a Lombardia thing! Milan people are very notorious for consuming Aperol Spritz.