Conrad's drawing elicited gales of laughter from us.
We understood him to be alluding to the conception of Jesus without the intervention of a human father.
I would point out, however, that "Immaculate Conception" refers not to Christ's but Mary's conception. According to the Bible, she was conceived without sin, unlike the rest of us, making her a fit vessel to bear the Son of God.
The cartoon was so funny, because I responded to the widespread erroneous belief first and only recalled the correction later.