I'm from southeastern Pennsylvania, near New Jersey, and around here Pennsylvania hunters have a greater reputation for stupidity than New Jersey hunters. I'm not sure why the joke's originator picked New Jersey except that the state has a long history of being picked on by jokesters.

I don't find the joke particularly funny because something quite similar – but more sinister – happened here in southeastern PA not too long ago. A guy who had (he thought) killed his mother called 911 to report the murder, but during the call the woman revived enough to make noises that were clearly heard by the 911 operator and recorded on the tape. The guy finished off his mother while still on the phone with the operator, and the noise of the killing was also recorded on the 911 tape and heard by the operator.