This happens sometimes, and they are usually pretty mild jokes or references, nothing really really dirty. It’s not that he doesn’t understand jokes in English, usually he understand jokes fine, it’s just that he doesn’t pick up sexual innuendos as well. Sometimes when he says he doesn’t understand (usually he says “What is it?” when he doesn’t understand), I look at his innocent and trusting face and think, “I can’t explain this.”
This does not mean he is some innocent little boy – far from it – it’s just soooo many things in English can seem to mean something sexual and since it’s not his native language he can’t pick up on them all. Sometimes just completely over his head.