Not a joke. There is a ton of this kind of tactic everywhere now. Say a crazy thing, suggest it is a joke. Repeat it. By the time you "say the quiet part out loud", it's been normalized.
It's the same reason why "I'm just asking questions" is a great propaganda tactic. It allows you to normalize whatever wacko shit you want to.
And the abject stupidity of modern discourse is that this bastard can pull this shit on a national stage, but I hesitate to say 'ha ha, [actionable threat]' as a riposte for an audience of dozens.
He should watch his back. Peter Theil wants JD Vance to be president to take even more resources and even more money from the people to fill his pockets even more.