Dry humour is as in its name, humor that is not really that juicy, so not really humor at all. Something categorized in this can't be called a joke or a pun; it is simply something that is self-awarely (well, sadly, sometimes not) not funny nor humorous at all. Though, that doesn't really keep you from having shits and giggles on about it.
Think about it as some random meme-y thing -that is not supposed to be funny at all- that is said in a totally normal conversation.
It's sometimes said to be close to sarcasm, but the unnecessary type.
Jim: Can we talk tonight?
Tom; No, I'm busy with the kids in my basement.
Jim: It's so sad you are taking every opportunity to be funny, man. You must think you are very funny.
Tom: It's called dry humour, damit.
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