Put it immediately after the fake threat in your edit, before the reaction shot, then follow it with Bruh Meme and then Fail Sound Meme if the joke falls flat.
About this sound
This just-over-two-second clip is Borat saying please do not attack me, gypsy woman, in a desperate plea to be left alone. It feels awkward, anxious and funny, turning sudden panic into a joke about overreacting when there is no real danger. The line comes from the Borat film.