I think the joke is this isn't the Lady of the Lake. The guy just saw a sword poking out of the water and thought it was Excalibur, but it isn't. So that's not its scabbard either.
Excalibur wasn't magic, the scabbard was magic. It prevented the wearer from dying of injuries or something like that, and since this is a clear Excalibur reference (the Sword in the Stone wasn't Excalibur btw) it means the Lady in the Lake still has the scabbard so she's just beaten up a bit.
In Le Morte d'Arthur we learn that the scabbard is actually more valuable than Excalibur itself because any wounds received by the bearer wold never bleed. In the final panel of the comic there is a large pool of blood forming, presumably by the lady of the lake's death (or maybe her hand being bitten off). There shouldn't be blood.
I liked it too, great art style. Although since I'm already nitpicking: a morning star on a chain seems like the least practical underwater weapon imaginable.
Interesting addition is that, in Latin, the name for scabbard is the same as the female reproductive organ. So it could be taken to mean a vagina that makes one immune to bleeding.