Concept for a horror one-shot (or maybe some sort of Twilight Zone-esque anthology series)
A sketch comedy is set up and takes place, with the characters, setting, and situation being played completely straight, just like you'd see on any other sketch show. As opposed to cutting away upon the joke's end, however, the fictional world that we've gotten peek into continues. Our main characters return home, the world keeps turning, and yet everything is fundamentally and thoroughly wrong. The world itself runs on the rules and suggestions set up and enforced by what a sketch comedy would need, and thus other aspects of the world are utterly half-baked, edging along the boundary between recognisable and unfamiliar.
The main character begins to slowly realise, throughout this time, that something is fundamentally wrong with the world that they're in.
They're then cut off by a second, deliberately contrived punchline.
We never get to see how the realisation affects them.