Nothing rhymes with orange
A: Nothing rhymes with orange
B: No it doesn't
This joke is based on a miscommunication. Person A says "Nothing rhymes with orange", which is intended to mean "There is not a word in the English language that rhymes with orange", but Person B hears instead "The word 'nothing' rhymes with the word 'orange'".
As far as I know, both of them are right, however Person B is likely intentionally misunderstanding Person A, since the second meaning of the sentence is obviously false.