Since it's not in your culture, I wasn't sure. But I know you've learned British English and have visited the UK, so I thought it was possible you'd be familiar with the song.

You know how the song is all about how "you put a [body part] (e.g., right hand) in, put your [body part] out, put your [body part] in and you shake it all about. Then you do the hokey pokey and turn yourself around, and that's what it's all about." So turning yourself around is part of the song, right?

Then when you pull yourself out of trouble (like beating an addiction), we say you've turned yourself around. So the joke is kinda like you're singing the song in the punchline. Hope that makes sense.

Okay, here's a riddle for you: What do you call a little person psychic who's escaped from prison? A small medium at large.