Q: Did you hear that Santa knows karate?

Q: Did you hear that Santa knows karate?
A: He has a black belt.

This is a pun. In US culture, Santa is often depicted as wearing a red garb and hat with white trim and belted around the middle with a black belt. Black belt also has another meaning than the literal one, however.

In martial arts, a black belt is often used as a symbol in recognition of the user's mastery in the sport.

The humor of this joke lies in that ambiguity.

There is also a little bit of absurd humor that you can derive from imagining a fat and jolly Santa participating in martial arts.