"Whiskey business" sounds like risky business. "Risky business" means that there is possibility of danger or failure or loss for a business. Whiskey is a type of hard liquor. "Making your own hard liquor is a whiskey business" can be understood literally, as in, you're in the business of making whiskey. Or, it can be understood as being risky, since "whiskey business" sounds like "risky business". The joke is playing on the word "whiskey". 
Making your own hard liquor is a whiskey business .