Someone who is observant is someone that notices the little things. Observant can be used in other ways. To be observant of a holiday means to partake in that holiday. Holidays are often related to religion. To observe the Christmas holiday is to partake and celebrate Christmas. The joke is centered on the word "observant" and its different meanings. 
To a person who is attentive to minutiae : ' ' You ' re certainly observant , even if you ' re not religious . ' '