Many political debate "jokes" are terrible, soul-sucking attempts to get a little bit of media attention by reciting a prewritten bit of wordplay that refers to a current event in a kind of cutesy way. Scott Walker's joke about the Russian hacking attack on the Pentagon may well have been prewritten, and we may well be encouraging other, worse jokes in the future by giving it space here, but, hey, it was well-delivered and it was funny.
He's referring of course to Hillary Clinton's use of a private email account at the State Department and her subsequent obfuscation about the process by which she eventually turned over her messages. It helped that the Russian attack was only reported this afternoon, so the remark seemed somewhat off-the-cuff rather than lame and contrived. I give it a B-plus.