A GUY WALKS INTO A BAR and he''s wearing what is obviously a cowboy hat that has seen better days. The crown has a few rips and a couple of bullet holes; and the brim is all frayed and floppy and sloppy; and the whole thing looks sort of moth-eaten.
SO, the bartender points at the hat, and asks the guy: "What kinda hat is that? A Texas Stetson??
To which the guy wearing the hat says: "Hail no! This here's a Kentucky derby!"
See, folks, today is the Kentucky Derby. So the joke is that a "Kentucky derby" a hat like some hillbilly might wear. Get it?