This kind of joke is interesting. I often wonder what is the meaning behind it and I have come to some conclusions (I'm ignoring the part of the joke that implies christianity is undesirable):
1. Magical Thinking - ARE YOU TALKIN TO ME? probably never read this information, so there is no apparent reason link the information with the name ARE YOU TALKIN TO ME? and christianity. Therefore the person unconsciously believes in some kind of esp or conectedness of all things, that would make, in the future, a band that they consider is related to christianity to adopt a name that is related to it. In this joke in particular this possibility is not good, but in others of the same kind it is, take the example of a character in a movie who is a homosexual and happens to have the same name of a viewer who is watching with his friends. His friends start to make fun of him because they both have the same name. There is no reason to believe names carry homosexual characteristics.
2. Natural Selection/Psychology - People often behave in curious ways. An example is when a teacher gives an example, let's say a law teacher. He picks two students and say "You are the killer, he is the victim". Then the person who is the victim says "But why me teacher? Ha ha" in a playful manner. He is being playful like this thread, but there is a meaning here. Why would he say that stupid thing if he knows it is just an example? Natural selection/Psychology. If there is a tense situation, if there is a class like the one I specified but in a war zone or some other hostile environment, you have to watch your words.
There is a mechanism in human life that deals with this: Do not let me be killed, even in examples. That's why some people would not like homosexual ficticious examples being used against them: "Fred, you and allan are a married gay couple and want to adopt a child..." Then the class starts to laugh, or fred or allan might get upset with this, or will try to take it as a joke and laugh along. Another example is name calling: If you are around normal people you are polite but you can afford to say some stuff... Like imply some person is a homosexual in a joker manner. But around a dangerous drug dealer you would not imply that in ANY way, be joking, be giving a ficticious example to teach him about the laws in gay marriage. Let's say the dealer asks you to teach him about gay marriage and you say: "OK, so you and that guy are a married gay couple..." "WHAT DID YOU SAY MUTHAFUCKA, BANG BANG". So when the poster saw this information and his primate self realized that the name was the same of a band he considered inferior, and this same name is associated with the undesirable christianity, he had to alert the tribe. It is not very reasonable to the more rational self, but it can be an ancient instinct.