I have a similar joke, but for hell.
Turns out Hell isn't so bad, and Satan does the introductory tour.
They go past a bunch of fun, normal stuff like movie theaters and amusement parks, and eventually they go past a burning building.
People at the bottom get stabbed with pitchforks until they go inside the burning building, screaming as they're burning, and they run up the stairs to the roof just to jump off and do it all over again.
A concerned soul asks what's up here?
And Satan says "Those are the Baptists, and they wouldn't have it any other way"