This one is a little bit of a stretch, but I got it.
I will explain it despite knowing that to do so will utterly kill the joke.
The scene is of the protagonist with a seductress. If I recall, the protagonist was - ah - shall we say, "exhausted."
The seductress snickers and whispers something in his ear. His jaw drops a little as she speaks. When she finishes, he says something to the effect of, "Please, baby, I'm not from Havana!"
1. They make big, black cigars in Havana, Cuba.
2. The protagonist was a big, black guy.
3. What does one most typically do with a cigar?
The joke is in guessing what she might have said to him. If you still don't get it, think Monica Lewinsky.
Brooks' sense of humor has always been big on inferring things. You don't hear what she says, you just hear his reaction, "Please, baby, I'm not from Havana!" And you are left to your own devices to guess what she said.
The possibilites are rather amusing, IMO.
"Work is love made visible."
-Kahlil Gibran, The Prophet