In the Cthulhu Mythos (a series of books, stories, and even films by H.P. Lovecraft and his successors) there is a god named Hastur. Hastur is known as "He Who Shall Not Be Named."
Actually he is confused with "HWSNBN" really, in the original story they were two gods mentioned rather off-handedly and not the focus in the story. Since then though a certain game you may have heard of, Dungeons and DragonsTM*, disaster was said to strike whoever said his name. I kind of stuck.
What all of this boils down to is that saying his name aloud is supposed to cause horrible things to happen to the speaker and anyone listening. But it won't because Hastur ISN'T "He Who Shall Not Be Named" except in the world/universe/reality/plane/dimension/area of D&DTM*.
End result: A short joke with a long explanation.
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* Owned by Wizards of the CoastTM|.
| Owned in turn by HasbroTM+.
+ Who the hell knows who owns them.