Play stupid to make someone stop make fun of you
If a joke is told and explained too often, it loses its humor. If someone is making fun of you or at your cost and you don’t like it, you can take advantage of this.
Simply keep asking “what?” I don’t understand” in order to encourage them to say the same thing over and over. Any laughter will fizzle out very fast, and instead of you seeming foolish, it will be the joke teller.