On Chris Head's site, a page called "Stand-up Comedy Fundamentals: Part 2, Misdirection" (July 28, 2016) uses the term misdirection for this type of set-up-based joke:
Having explored set-up/ payoff in the first blog we now turn out attention to a particular kind of set-up/ payoff: misdirection. I would unconsciously have laughed at misdirection for years, but I first became consciously aware of it watching Have I Got News For You in the 90s. (A formative decade for me.) I didn't yet have a word for it, but I began to notice that host Angus Deayton would often make the audience assume he was talking about one news story and then, at the last moment, would reveal he was talking about another.
Once I had picked up on the technique I began to notice it everywhere. But I didn’t have a word for it until I read veteran US stand-up coach Greg Dean’s book [Step by Step to Stand-up Comedy (2001)] and found that comedians (like magicians) used the word misdirection. Now, twenty years later, when teaching misdirection I often use a list of example gags that I compiled from a range of sources online. Three examples from the list will suffice here:
A lady with a clipboard stopped me in the street the other day. She said, "Can you spare a few minutes for Cancer Research?" I said, "All right, but we're not going to get much done." (Jimmy Carr)
I hate people who think it's clever to take drugs...like customs officers. (Jack Dee)
My grandmother started walking five miles a day when she was sixty. She's ninety-seven now, and we don't know where the hell she is. (Ellen Degeneres)
Part of the funniness in all of these is the attitude, namely a flippant attitude to a cancer charity, a rebellious attitude to drugs and a couldn't-care attitude to the elderly. A student on the joke class once described the payoffs as transgressing social norms, and there is some truth in this.
Again though, thinking solely about the mechanism, in all three jokes the set-up creates assumptions. Greg Dean talks about the "target assumption". Then the payoff, the rug-pull as comedians sometimes say, subverts those assumptions.
As Head notes, misdirection is an established term in magicians' terminology. Don Wilmeth, The Language of American Popular Entertainment: A Glossary of Slang and Terminology (1981) has this entry for the term:
Misdirection: The magician's art of diverting the audience's attention from some secret maneuver or device involved in making an illusion or trick work.
The absence here of any discussion of misdirection in the context of stand-up comedy suggests that the term was not well-establish in that sense on 1981. Google books searches for "misdirection joke[s]" turn up eight verifiable matches (not including Greg Dean's book, which is not previewable). Seven of those are from 2010 or later, but one rather skimpy reference (previewable in snippet view only) is from 1981.