I cannot find any joke that might fit this from earlier in the book, although given Harry's penchant for turning everything into a wisecrack, I may be missing something.
The number three comes up a lot (there are 3 sugar packets in the tea that Vadderung serves Harry with his doughnuts), so it's hard to make any connecting reference there either.
Without anything else to link to, I would agree with the comment from @Andrew Thompson. The idea of Rudolph having a hit out on him, only for them to switch to Harry as things played out and thus having accidentally saved Rudolph's life - it's just too much and Harry cracks up a bit. There's no brick joke that I can see. Rudolph has been a pain in the ass for a fair bit of the series at this point, so that fits more than anything else does. The comment about a joke would just a smokescreen to hide what he's laughing about - it is a little creepy thing to laugh at, and although I doubt Harry wishes Rudolph dead, there may be a little delirious crazy thought driving the laugh that it would have helped them out a bit.