This is a pun. "To harp" on something would mean to return to it or reference it repeatedly; a common image/conception of heaven is that angels in heaven play sweet-sounding instruments like the harp. Jenny in the joke believes she is going to heaven, but will be humble about it by not bringing it up frequently/repeatedly, or "harp" on it.
Jenny was sure she was going to Heaven but she wouldn ' t harp on it .