это шутка, обыгрыш женского имени Дениз.
Denise звучит похоже на de niece (или the niece). Niece = племянница.
Племянник = nephew. Denephew - это каламбур, "мужская версия" Denise.

Анекдот в оригинале:
A pregnant woman from Virginia was involved in a car accident and, while in the hospital, she fell into a coma. When she awoke days later, the woman noticed that she was no longer carrying a child, and asked, "Doc, what happened to my baby!"
The doctor replied, "Ma'am, you've had twins! You're the proud mother of a handsome baby boy and a beautiful baby girl. Also, you should know that while you were in a coma, your brother named the children for you."
"Oh, no!" shrieked the woman. "Not my brother! He's not really all together, if you know what I mean!"
The doctor replied, "Well, ma'am, your brother named your daughter Denise."
"Oh, that's not so bad," smiled the woman. Then, hesitantly, she asked, "What's the boy's name?"
The doctor grinned and said, "Denephew."