What's funny about "I'd like to thank the warden for bringing us his daughter." ??

Recently I watched Anthony Jeselnik's show on Netflix, enjoyed it very much, then went to youtube for more. I saw a video "Anthony Jeselnik on Performing Stand Up at a Prison" but couldn't get it so please help me out, why the line "I'd like to thank the warden for bringing us his daughter" is so funny? I think it means "Let's violate the warden's daughter" something like that, however I could not get why it's funny, and it seems this line is the climax of this video. Please help me out to understand, is this also a popular quote from "Cool Hand Luke" or something ?

Youtube link:
https://www.youtube.com/watch?v=SZoylcQhWUA&t=535s

P.S. I'm not judging nor being sarcastic, I just want to understand it. I very much liked his dark humor but thing is that English is not my first language.