Q: Where do generals keep their armies?
A: In their sleevies!

Explanation: A general is the leader of an army (singular), so, generals are the leaders of armies (plural).  When you put on a shirt your arm goes into the sleeve of the shirt.  Often times in English, to make something small you put the “ee” sound on the end- cute becomes cutie, bird become birdie.  In this joke arm becomes arm-ee so it goes into your sleeve-ee.