I am supposed to translate the entire sketch for my next classes, but I really don't know what is the joke here. I only know that magenta is a color and that is all. Can someone explain to me what is funny about this? I really need that.

Here is a part of the transcript where the joke is used:

"Before we begin today's briefing, I wish to announce that, on the basis of change in the nature of Al-Queda chatter, we are changing the current threat level to Magenta. Let me repeat: the threat level is now.. Magenta. What is Magenta? It's a darker maroon. It's not quite an ox blood. It's more plum color than.. say.. a crimson. How serious is it? [ sighs ] I honestly don't have an answer for that."