It's less obvious, and therefore has a better chance of subverting expectations if you use a real place.

Do you know what they call seagulls in Hudson Bay?

I learned it as: Why do seagulls fly by the sea? Because if they flew by the bay they'd be bagels.

I think the flow is nicer and leads the listener down the path "logically". Saying bay in the question tips your hand and is less of a surprise.

But still one of my favorite classics.

Would eat them with cream cheese or butter ?