I do not understand the Moscow joke , can anyone explain?
It's not exactly a joke.
Moscow is indeed "Mosukuwa" in Japanese.
But at the same time, it's "Moskau" in German and "Moscou" in French.
That German "Moskau" is then read as "Mosko-" in Japanese (also formed around the time English "Moscow" became a thing, it's a rather long story).
Regarding the long story:
The name for "Moskva" was actually spelled "Moskov'" (Московь) in old East Slavic language. This is transliterated into West Slavic and Germanic languages with the suffix of "-ow".
(You can still see this rule in "Muscovite" - the people later formed into what we consider Russians nowadays, or in "Muscovy" - the principality of Moscow).
So, here we have "Moskov" becoming "Moskow", which in turn becoming "Moskau", "Moscow", "Moscou".
Later, a vowel shift happened in Middle Ages, often refered to as Jer Shift in Slavic languages, making "Moskov" morph into "Moskva" as we see today (but it doesn't quite apply to "Moskow" anymore).