Can someone please help explain the joke?
I’m absolutely not an expert, but looking up Reform Judaism shows it’s a branch that discarded a lot of the traditions, rituals, and religious trappings of the traditional faith in an attempt to modernize. They also took heavy inspiration from contemporary Christian theologists. That seems to have put them at odds with both traditionalists and Christians (who saw reduced converts due to their reforms).
Reform Judaism - Wikipedia

Jews don’t believe in Jesus as the son of God, so any Jew saying that they do should probably consider moving into Christianity