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I actually tried looking up this anecdote, and the closest thin i could finds is:
Man walks into a sauna and sees three niggers taking a shower, but one of them has a white dick. The man asks:
-Mister nigger! Why is your dick white?
-Fuck off, we are not niggers, we are coal miners... And my wife came over yesterday...
I don't think it's the right one though.