Ah OK, I thought you thought they said Colombia initially, and I was wondering if you found something else in it funny.
Interestingly, to me, Colombia and Columbia don't sound the same, but I'm not a native speaker and I tend to think of words in terms of their spelling rather than their pronunciation.
- he told people he got his degree from Col*mbia (both place names are pronounced the same)
- people (naturally) assumed he meant Columbia
- the punchline reveals that it was actually Colombia
- the punchline also hints that he got his degree by buying a certificate online, rather than doing bona fide online learning