LORELAI: All right, everybody, I need your attention, your attention please. This is a very serious moment. Two priests, a rabbi, and a duck —
RORY: Mom.
LORELAI: All right, I’m kidding.
The old joke Lorelai pretends to start telling goes: Two priests, a rabbi, and a duck walk into a bar. The bartender says, “What is this, a joke?”. The punchline is because priests, rabbis, and/or ducks in bars are a common feature in jokes.
The Annotated Gilmore Girls 
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