Knock, knock. / Who's there? / Little old lady.
Little old lady.
Little old lady who?
Wow, I didn't know you could yodel!
Perhaps there is another reason for the existence of knock-knock jokes that I didn't know till now: perhaps they are intentionally bad, and the humor is at the expense of the listener, like some puns, or shaggy dog jokes?
I'm gonna go with that.
This joke is supposed to be funny because "little old lady who" sounds like the noise that people that don't know anything about yodeling make when they pretend to be yodeling.