This is a double-entendre joke (a pun with a risqué hidden meaning).
On the surface:
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Bridget says, “I’ve never come this way before.” She means she hasn’t traveled down that shortcut street before.
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Theresa replies, “Ah, that’ll be the cobblestones.” She pretends Bridget is talking about the physical sensation of the bumpy road.
The hidden joke:
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“Come this way” can also mean “experience sexual climax in this manner.”
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Theresa’s reply (“that’ll be the cobblestones”) suggests that the bumps from the cobblestones caused Bridget to “come,” i.e., reach orgasm.
So the humor comes from the innocent setting (two nuns cycling home) clashing with the cheeky sexual innuendo.
Do you want me to point out why this particular type of joke works well with “nuns,” rather than just any two people on bikes?