A little old lady.
A little old lady who?
I didn’t know you could yodel!
Ah, the beauty of a knock knock joke and Alpine music. Yodeling is a type of singing where the singer changes the voice from falsetto singing (high singing like the Bee Gees) to normal singing and back again. It is commonly associated with the Alps of Europe but is also found in other cultures.
The words “little old lady who” sound a bit like yodeling and that is what makes this joke funny.
In the 1970s there was a TV commercial for hot chocolate that used a bit of yodeling
There is also a yodeling song from The Sound of Music: