My friend told me he had the body of a Greek god

My friend told me he had the body of a Greek god. I had to explain to him that Buddha is not Greek.

This is another joke that makes fun of a "friend". There are multiple types of humor here, but the overarching theme is a put-down. First of all, the jokester is saying that his or her "friend" is fat (Buddah is often depicted as being fat and jolly in western culture).

The jokester also assumes that the "friend" does not know that Buddah is not a greek god, insinuating that the "friend" is not very well learned.