I've had bad luck with both my wives. The first one left me and the second one didn't.

This is a compact, self-deprecating one-liner built on reversal: the speaker calls it “bad luck” that his first wife left, then twists expectations by claiming it was equally bad luck that the second did not. The humor depends on deadpan cynicism about marriage and on the implied preference for solitude (or escape) over domestic continuity. It also plays with the language of complaint—treating mutually opposite outcomes as equally unfortunate—suggesting the speaker’s dissatisfaction is less about circumstances than temperament. As a joke, it functions as a barbed commentary on romantic disillusionment and the tendency to narrate personal history as a string of misfortunes.