One connects to your devices and accesses your data, and the other is a hardware standard.
Explanation: This joke subverts expectations by initially suggesting that the punchline will focus on the similarities between “USA” and “USB,” as both share similar letters. Instead of focusing on that, it humorously implies that the “USA” might connect to your devices and access your data, referencing concerns about privacy and surveillance, while USB is just a harmless hardware standard.