Interrupting cow

Q: Knock, Knock.
A: Who's there?
Q: Interrupting cow.
A: Interrupting cow wh--
Q: MOOOOOOOOOO!!!!!!!!

This is a Knock Knock Joke. In this joke the humor lies in the fact that the person that identifies themselves as an interrupting cow then interrupts the other person with a cow noise (which is presumably what an interrupting cow would do if they existed in real life.)

The act of cutting off a knock knock joke before the the conclusion is unexpected, and therein lies the humor.