Put it right after the confusing claim, then follow it with a shocked reaction before moving to the next joke, and save why are you running for the moment someone tries to explain it away.
About this sound
This is a short two-second clip of a man asking, in a rising, incredulous voice, 'What? Bro, what are you talking about, man?' The line lands as pure baffled disbelief, the kind that makes a nonsense claim sound even funnier by refusing to accept it. It feels awkward, amused and slightly exasperated, like catching someone mid-ramble and stopping them cold.