You could probably ask that question about most lines in situation comedy. The pre-recorded laughter (canned laughter) is meant to convince you that what is being said is funny. "Saint Ralph the Liar" is an oxymoron (or should be) because presumably saints don't lie.
Part of the reason it might be funny comes from the previous lines - the context. You can't just give a punchline and ask why it's funny.
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