The flesh color, size and orientation bring to mind a suction cup dildo that a person might sit onto.
But for me what elevates it beyond "haha, penis" and makes it funny is the context of Thing being placed next to Wednesday as if an accessory that comes with the Lego kit. Thereby suggesting a dildo is to Wednesday, what wands are to Harry Potter minifigs.
So I've never done a deep dive but thing I would imagine, is the soul of the person surviving inside his hand. So thing is a full human trapped forever in a hand and that's terrifying