this-reality
Explanation
The Joke
A woman announces to her husband that she has terrible news: she has discovered that the entire world is a fantasy, that she is asleep and has dreamed all of it -- the children, the city, the country, everything. Her husband, understandably alarmed, asks what this means, what he is, and what they should do. She calmly says there is only one sensible option.
The final panel reveals her "sensible option": she is standing on a box in a public square with a megaphone, demanding that everyone bow down before her or she will pinch herself "real hard" -- threatening to destroy all of reality (since it is her dream) if people do not worship her.
The Humor
The humor comes from the unexpected but perfectly logical leap from solipsism to megalomania. If you truly believed the entire world was your dream, the "sensible" conclusion is not existential despair or philosophical inquiry -- it is that you are God and everyone should worship you, because you could end their existence at any moment by waking up. The specific threat of pinching herself "real hard" is funny because it is simultaneously the most trivial physical action imaginable and, within the logic of the scenario, an apocalyptic threat equivalent to destroying the universe. The comic satirizes how philosophical positions that seem harmless in the abstract (like solipsism) can lead to absurd or tyrannical conclusions when taken to their logical endpoint.
References
The comic deals with solipsism, the philosophical idea that only one's own mind is sure to exist and that the external world and other minds cannot be known to exist. It is one of the oldest problems in philosophy, discussed by thinkers from Descartes to Berkeley. The "brain in a vat" thought experiment and the dream argument are closely related concepts.