Ah, now I get the "Borat" joke.

It’s the same self-deprecating humor as expressed in Kazakhstan’s National Anthem:

Kazakhstan, friend of all except Uzbekistan, they very nosey people with bone in their brain
Kazakhstan, industry best in the world, we invented toffee and the trouser belt
Kazakhstan, prostitutes cleanest in the region, except of course for Turkmenistan’s
Kazakhstan, Kazakhstan, you very nice place
From plains of Tarashenk to northern fence of Jewtown
Come grasp the mighty phenis of our leader
From juction with testes to tip of its face

How does Borat know his sister is the second best prostitute in the country?

Hmmmmm