Can we say: Pls play me a joke ????
or must we say pls play a joke on me????
Most people would understand either. "Play me a joke" could be talking about radio or CD player.
I disagree. Play me a joke makes no sense in BE. "Can you tell me a joke?" would make sense. As would "play a joke on me". However, the first is a request and the second, although it could be asked as a request, is more likely to be used as a statement. "John played a joke on me."
To play a joke on somebody is to kid somebody/pull somebody's leg usually ending up with the recipient of the joke looking silly. Hence why you rarely ask someone to play a joke on you.
To tell a joke is to tell someone a story (usually fictional) that is funny.