I guess it's the, "Ha ha, why is she pregnant!?" Laugh.
Hmm...Not really. Its really more of a social satire, I suppose, or even just a bit insulting to people who get married just because they get pregnant. I think the laugh is on several levels:
A. Haha. Someone got knocked up and now they get married (I disapprove of this laughter, by the way)
B. Hehe. Miss Piggy looks funny pregnant!
C. Hoho. They've tricked us into thinking that a puppet has put a pillow under their dress. (Which is even funnier than a human doing it.)
D. HA! Fun twist to the song in that the person she's "waiting for" is already married! (What a dirt bag!)
E. Hahaha, Miss Piggy is genuinely trying to trick Kermit into marrying her through the use of a sketch (Much like in MTM) but he's not falling for it (fooling for it?)
F. Miss Piggy is attracted to the idea of being pregnant...makes Kermit uncomfortable.
The thing I love most about the Muppets is their levels in jokes, like: "Character in sketch makes joke or sings funny song," "Muppet actress Miss Piggy makes joke about her character in sketch", "Puppets are funny".