For anyone who doesn't get it: The joke relies on understanding how Latin languages gender words (Un v. Une, Masculine/Feminine form).So it literally doesn't work in English. It's also a common translation error non native speakers have because you only know the "gender" of a word by... Knowing if it's masculine or feminine through experience.

Best way to carry the joke is:

"Oh look, a/un(male) fly."

"No, it's a/une(feminine) fly."

"Wow, you have good eyes/Wow, you can see it's genitals from here?"

Certainly clunky but hilarious if you speak French.