There are two jokes.
A Baha'i dies and is met at the Gates of Heaven by St. Peter, who welcomes him and offers to show him around to get him oriented. "Heaven," St. Peter says, "is like a huge mansion, with lots of rooms in it. Here, for example, is the room where all of the Jews stay." He opens a door and lets him look inside, where a great many Jews are living.
"Over here," St. Peter says, "is where the Muslims stay." Again, he opens the door and lets the Baha'i look in for a few minutes. "This next room is for the Buddhists." Again, he is shown a room full of people. This goes on for a time, until St. Peter suddenly urges him to remain quiet, and they tiptoe past one more door. Once they're past it, the Baha'i asks, "What's in there, and why do we have to be so quiet?"
"Ah," St. Peter says. "That's where the Christians live. They like to think they're the only ones up here."
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A Baha'i dies and is met at the Gates of Heaven by St. Peter, who welcomes him and offers to show him around to get him oriented. To make this short, I'll just say he goes through the same deal as in the previous joke, except he gets to see the Christians. Finally, they come to one last door, which St. Peter opens. "This was built for the Baha'is," he says. But when the Baha'i looks in, he finds that the room is empty!
"Oh no!" he cries. "This can't be! How can I be the only Baha'i here??"
"Calm down," St. Peter says. "The Baha'is are all off travel teaching in hell."