Title text: IT'S ALL REAL!
Canada is the country north of the USA. During political seasons, it's often claimed by partisan voters that if their side loses, they'll move. For Americans, this often comes to claims of moving to Canada.
The punchline lies in the urban legend that if you die in your dream, you die in real life. In this case, the second person has replaced dreaming with Canada, in order to warn his friend that moving to Canada is not a smart choice.
that's not really it... the punchline is also insinuating that Canada isn't real life.
- [Two men stand talking to each other]
- Cueball: If we lose this election, I'm moving to Canada.
- Friend: You say that every year.
- Cueball: I mean it this time.
- Friend: Well, becoming a citizen takes work. Meanwhile, you have no money, half an art degree, and it's the start of winter. You'll freeze to death in the streets.
- Cueball: Whatever.
- [Friend raises his hands]
- Friend: No, don't you get it? If you die in Canada, you die in REAL LIFE!