dear-god
Explanation
The Joke
A woman begins by reading from a study: "Dear God, according to recent research, people who believe in a higher power tend to be happier." She then asks how anyone knows it is not because happy people tend to be more religious (questioning the direction of causation). Her conversation partner argues there are clear psychological benefits to religious claims about meaning, that bad things happen for a reason, and that free will is real.
The woman concedes: "Okay sure, but that doesn'''t mean it'''s true. If people who believe in Santa Claus were happier, you wouldn'''t say they were right." Her partner responds: "That is obviously not the same thing." The woman then delivers the punchline: "Look, I'''m just playing devil'''s advocate."
The Humor
The punchline is a double entendre. "Playing devil'''s advocate" is a common expression meaning to argue the opposing side for the sake of discussion. But in the context of a debate about God'''s existence, "devil'''s advocate" takes on a much more literal and sinister meaning -- she is literally advocating for the devil'''s position (against God). The phrase, which is normally innocent, becomes a sly theological joke when used in a religious debate.
The comic also satirizes the common debate about the correlation between religiosity and happiness, touching on a real logical issue: correlation does not imply causation, and the direction of the causal arrow matters.
References
The term "devil'''s advocate" (Latin: advocatus diaboli) originally referred to an official position in the Catholic Church. The Promoter of the Faith was tasked with arguing against the canonization of a candidate for sainthood, essentially arguing the devil'''s case. The term has since become a common idiom for someone who argues an opposing viewpoint for the sake of argument.