That's not a phrasing unique to jokes. 

"That guy's sister died the other day." "How unfortunate." 

"How unfortunate would it be if the moon fell out of orbit and crashed into the earth?" "Very unfortunate."

"How unfortunate that he wasn't able to pull out of the dive in time and crashed the plane."

As you can see, that phrase alone doesn't really mean anything beyond the fact that something was unfortunate.