The word change can refer to metal coins, and pennies are a type of metal coin. The word change can also mean "make different". The customer in the joke wanted "change in the food". This could be interpreted as wanting the food to be different, maybe change the seasoning, or wanting metal coins in the food. The joke is playing on the phrase "change in the food". 
Waiter , there are pennies in my soup ! ' ' Well , sir , you said you ' d stop eating here if there wasn ' t some change in the food . ' ' *