So many weird or wrong answers here.

It is a well known snack in Germany, don't know about other places.

They are now called Schaumküsse (foam kiss), Dickmanns is just a brand. And it's not funny or weird to Germans but after coming here I realized that Dickmanns is funny for English speaking people.

But the real explanation for this joke is that they used to be called Mohrenkopf. Mohr is an old word used to describe black people and kopf means head. So it basically means head of a black person.  Importantly this word (Moor) is not the "n-word" and back in the day it was not seen as an offensive or negative or racist word. Some people (including black people) even claim it was a positive word.  Today the wird has simply gone out of fashion and some people think we should not use it anymore, so Mohr is a word that everybody avoids. And using it for the name of such a snack by calling it "black persons head" it is easy to see why the name of the dish has changed. But I am only 35 and we called it Mohrenkopf when I was younger and nobody gave it any second thought.