It Sphinx!
Since Sphinx sounds very similar to "stinks" but is also an infamous mythical creature with the head of a human, body of a lion and sometimes wings of a bird that has a statue in Egypt, a country commonly associated with their ancient practice of mummification wherein deceased humans are preserved through a series of steps and buried in elaborate tombs. Therefore, since the joke is declared terrible and is a mummy joke, commonly associated with Egypt, "It Sphinx!" is a play on words that causes a slight amount of humor in its listeners.
