pony
Explanation
The Joke
A little girl tells a genie (or magical figure) "I wish my favorite carousel pony was real." The wish is granted, and in the final panel we see the result: a horse impaled through its body by a carousel pole. The girl got exactly what she wished for -- her favorite carousel pony made real -- but a carousel pony is, by definition, a horse with a metal pole running through it.
The comic plays on the classic "literal genie" trope, where a wish-granting entity interprets a wish in the most literal and horrifying way possible. The child innocently imagined a beautiful living horse, but the genie brought the entire carousel pony into reality, pole and all, resulting in a gruesomely skewered animal.
The Humor
The humor comes from the sharp contrast between the wholesome childhood wish and its grotesque literal fulfillment. The "literal genie" is a well-worn comedy device, but Weinersmith finds a particularly vivid example here -- a carousel pony is so associated with childhood innocence that the dark twist lands especially hard. The visual of the impaled horse is played for shock comedy, and the joke works because the audience immediately understands both interpretations of "carousel pony" the moment they see the final panel.