A paraprosdokian (/pærəprɒsˈdoʊkiən/) is a figure of speech in which
the latter part of a sentence, phrase, or larger discourse is
surprising or unexpected in a way that causes the reader or listener
to reframe or reinterpret the first part. It is frequently used for
humorous or dramatic effect, sometimes producing an anticlimax. For
this reason, it is extremely popular among comedians and satirists.
Some paraprosdokians not only change the meaning of an early phrase,
but they also play on the double meaning of a particular word,
creating a form of syllepsis.
In this case, when the word strong is read in the first sentence, it's taken in the sense of "steady" or "committed" (having emotional strength). It's only at the end of the joke that Allen switches its meaning to one of physical strength.
Groucho Marx had a famous example of this:
One morning I shot an elephant in my pajamas. How he got into my pajamas I'll never know.
Note: I linked to the Wikipedia definition because its was the most extensive. Interestingly, the word doesn't have a definition in the online Merriam-Webster or Oxford dictionaries; nevertheless, Merriam-Webster does provide a definition in one of its blog posts. (It is obviously a "rare" word.)