The punchline was ' No Iranian will beat us on our home turf!'

The Jews are reknowned for making jokes about themselves, as are Catholics, so the joke was they reckoned they could poke more fun about the Holocaust than the Iranians could.  Their 'home turf' meaning their ability to laugh at themselves, probably more so, than anyone else ever possibly COULD!

Never mind.   I can see it went right over your head.