That's actually one of his bits,
Hey, when you were little did you guys ever catch AIDS from chewing your dad's balloons?
My other favorite one was when I was sitting at a bar with two of my friends and this girl walks up to me and goes "Um, excuse me, and please don't be offended when I ask this, but are you Jewish?" I was just like "first off, why would I be offended? and second, nope, I'm not" and then I went back to drinking. Maybe I just attract women with the worst icebreaker skills on the planet.
I don't have the insight or cawmedy expertise BantsSmasher has, but if a girl came up to me in a bar and asked if I was a Jew. I'd probably say something like, "Nice try Eva." If she laughed I'd offer to buy her a drink. If she got offended I'd apologise for taking it too far and offer to buy her a drink. I haven't to cawmedy date school though so I might be doing it wrong