Why does she suddenly say this sentence? I don't get the context.
Native speaker’s answer
Rebecca
In the sentence previous to this, the speaker asks the puppet, "Uncle Grumpy, why are you so angry?" The puppet's "response" to this is "because the President wants to build a wall!" Context clues are important here. This show is set in America, so we can infer that this is a reference poking fun at President Trump's campaign to build a wall along the U.S.-Mexico border.