"I'm not gay, so I don't know much about Broadway musicals"

Norm MacDonald's quote is a funny method of expressing his lack of understanding about Broadway musicals. He is implying that understanding of Broadway musicals is typically associated with being gay, which he is not. This could be translated as a joke about the stereotype that gay people are more likely to be thinking about musicals. It could also be viewed as a way of poking fun at the concept that knowledge of musicals is a sign of sophistication. Regardless of the intent, the quote is an easy going method of revealing that Norm MacDonald is not acquainted with Broadway musicals. It is a funny method of acknowledging his absence of knowledge in the location.