4 ideas
Some tales build a realistic frame across most of their length, so the reader settles on one interpretation, and then a closing line substitutes a different frame that still fits the stated facts. When this works, the laugh comes from the reader seeing that the certainty came from their own assumptions. Not every tale works this way, since 'Ferdinand' introduces its thinking duck near the start.
Some of Allais's non sequiturs are careful deductions from a starting point no one would accept, so the absurdity is pushed back onto the premise. In those cases the valid-looking form lends the nonsense a false sense of rigor. Not every tale works this way: 'Un drame bien parisien' ends with an unexplained reconciliation rather than a chain of deductions.
Stating nonsensical proposals in the calm, exact vocabulary of engineering or public policy exposes how much authority comes from tone rather than content. The quip commonly attributed to Allais, that cities should be built in the countryside because the air is purer there, shows the method: a sound observation leads to a solution that defeats itself.
Allais sets up genre expectations such as melodrama, revelation or moral lesson, then refuses to deliver the promised payoff or delivers a parody of it. The joke falls less on the characters than on the reader who wanted the story to resolve neatly. The frustrated expectation itself becomes the entertainment.