Let me take a shot at it.
Though explaining humor usually kills it.
Protestant and prostitute have several sounds in common, the same initial sound, and the same number of syllables. So the words are close enough to be mistaken.
The humor derives from the straightlaced reputation that Protestants have among Christian-dominated groups, like Canada. One doesn't speak of Baptist bellydancers, for example. The joke is that a group thought of in its native habitat as staid, even repressed, could be thought of in such different terms by someone of another group. Protestant = starlet? It's cognitive dissonance.