There are no words in the English language...

“There are no words in the English language that have all the vowels in alphabetical order,” he said facetiously.

This is a short story with a funny ending. The joke here is that the guy said in a teasing way that something didn't exist, but then the joke proved that it does exist by listing one example of it immediately after.

What adds to the humor is that the story has no obvious reason for existing, but it doesn't display any other tell-tale signs of being a joke, so it will probably confuse the listener for a while before they catch on to it, and figure out the joke.