Not sure how to take a joke

Today my  therapist joked at me. I was talking to her about a previous obsession with the actress Kate Winslet and how unfortunately I could not study Winslet at University or I would have done this instead of my History degree. The therapist then said, 'oh, I am sure you can study her these days, there are courses that exist where you can study Winslet'. I thought this was a bit strange, but I believed what she said because I had no reason to believe she was not stating a fact. She did laugh as she said it, bit it was not obvious to me that this was a joke until she said, 'no, I was joking, you cannot study Winslet'.

I feel unsettled and anxious by the fact my therapist told a joke, and I don't know whether she was being nice or whether she was trying to test my reaction? She knows I am autistic, and in fact she specialises in autism.

Should I let her know that these sort of jokes irritate me? The problem is that I am not sure why it bothers me so much and I do not want to be seen as someone without a sense of humour, but I do not understand why people need to 'joke' like this - I did not think it was funny so what was the point?