Although I have no way of knowing for sure, this joke probably came out of a story about the circumstances surrounding Franco's death -- It was said that Franco had created such a regime of terror in Spain, and his advisors were so terrified of being the one to announce that the Generalissimo had died, that they left his corpse in his deathbed to rot for days before going in to check it.

I can imagine Chevy Chase telling the joke now: Is he still dead?