ha ha ha the joke again ha ha ha this would be a lot more funny if he hadn't just noticed the pokéballs already hanging from her belt

There are a couple obvious possibilities. One possibility, the stupid one, is the one where she is actually a Pokémon trainer. The other possibility is that he's talking to someone who's suffered some severe mental something-or-other and has lost the ability to distinguish between reality and fantasy. Neither is reassuring.

"What..." he begins, "do Pokémon have to do with..." he fails to continue.