A lot of people know the story behind proverb that every road leads to Rome... This end point is called "Milliarium Aureum". But there is similar proverb that says every hole leads to China. Searching that in Google returns exactly zero results, even though a lot of people have heard the proverb.
When a child is digging a hole for no apparent reason, a parent can ask the child if (s)he is digging a hole to China expecting the child to not answer. Obviously it is impossible to dig deep enough hole from anywhere in the planet and end up successfully in China and still be alive.
Another part of the joke is that if you actually try to dig a hole when you're already in China, you most likely end up back in China. This is because when you dig a hole deep enough to reach the molten core, the pressure is high enough to eject you back to the surface.