I found this by total accident: a fairly long wikipedia page of Russian political jokes.
A knock knock joke about KGB. The "knocker" knocks on the "knockee"'s door (the joke receiver). The door answerer asks the questions "who is it". The knocker replies stating that he is the KGB, (knocker only says "KGB"). The answerer replies by saying "KGB who" as with all knock knock jokes. The knocker slaps the answerer before allowing the answerer to finish saying the previous line of "KGB who". Then the knocker yells "WE WILL ASK THE QUESTIONS!"Or
A frightened man came to the KGB and said, "My talking parrot disappeared."
KGB: "This is not our case. Go to the criminal police."
Man: "Excuse me. Of course I know that I have to go to them. I am just here to tell you officially that I disagree with that parrot."