Horse walks into a bar. Bartender says, “Why the long face?”
The informant describes this joke that her mom used to tell. Her mom thought it was hilarious but no one else found it funny. So, whenever something unfunny happened, family members would say this joke to show that the present situation wasn’t funny.
This is a great example of metafolklore. This is essentially a joke about another joke, specifically a joke about the unfunniness of another joke.