Country club membership has its trade-offs. I’ve never tried Duck L’Orange. Can’t afford it, ha.
More joke context (Optional) below:
The joke comes from ducks playing golf at a country club while one of them notices “duck l’orange” on the menu. Since that dish is made from duck, it turns a normal fancy clubhouse meal into something personal and threatening.
The humor is the contrast between polite country-club small talk and the realization that the clubhouse is serving food made from the same animal standing on the course. It treats a common menu item as an awkward survival problem.