I won’t say that isn’t a valid interpretation, but I’ve always thought the joke was simply “paranoid conspiracist thinks everyone is out to get him except the guy fucking his wife”.

I think it also highlights Dale’s sweet side; despite his tendency towards conspiracy, he refuses to see the obvious when Nancy is cheating on him because he is 100% in love and trusting of her. He literally can’t imagine her betraying his trust like that. He will believe that Joseph is half-alien before doubting Nancy of wrongdoing.