I never understood this joke/insult. It just makes no sense.
It’s an insult. The speaker doesn’t consider you to be a living person.
It’s an insult because the speaker is saying that you don’t have a life… that you are a loser.
gingersnap, did your parents have any kids that lived?
Really? I thought it was more in the lines of either
(a) you’re so stupid that you’re going to get yourself accidentally killed one of these days
or
(b) you’re annoying me so much that I’m going to kill you myself
It’s an insult meaning you’re a meat head. Dead from the neck up. It’s a way of saying your an idiot. Shit for brains. A dope.
Also, if you’re really hearing the joke as you stated it in the subject line: “Did you parents…?” then that would be a reason for not getting the joke. It only makes sense if they’re talking about YOUR parents, not “you parents” in general.
Sorry, am I getting way too literal here?
“…like the rest of your siblings.” That is, “Your parents bought forth offspring so stupid that they all ended up getting themselves killed by their stupidity; and you are so stupid that you will soon get yourself killed as well. Do you have any surviving siblings? Because if you don’t, then your stupidity will eventually kill you.”
I’ve always hated this little quip. It sounds terribly strained.
And it’s so mean. 
Incidentally, it doesn’t work if the insultee in question has the same parents as you. I tried it on my brother today, and well…I won’t go any further. 
In the case of your sibblings you could use insults like:
“You are soooooooooooo adopted”, a staple insult in my family.
Insinuating that the brother/sister is not normal, not one of us.
Be careful, though: Once we found out that one of our siblings was, in all actuality, a cousin, we all felt real stupid about saying that!
By the way, I don’t remember which of my sibblings is actually my cousin. Does it matter?
Don’t remember which sibling is a cousin? It really does matter in some states! 
My favorite is: “Mrs. White didn’t raise more than two fools.” By brother and sister hate that one. Makes mom mad too.
Maybe s/he is your sibling and your cousin. You only need to worry if it turns out that s/he is your niece/nephew as well.
What state do you live in?
It still doesn’t make sense. The person asking if another person’s parents had any kids that lived is TALKING to one of the parent’s kids that obviously lived, duh. Otherwise he wouldn’t be talking to him/her. In fact, I’d say that the person asking such a a stupid question is the moron here.
gingersnap , you are over analyzing. It simply means that the person who is being asked the question is stupid. It is an insult, it means that the questionee is so stupid that he/she must be brain dead. It is NOT a literal question.
Maybe this will help:
So you see, it’s shorthand for a longer insult.
I’d always understood it to mean that the insulter is considering the insultee an aborted human being – i.e., you were either unwanted or not fully developed as a fetus; a non-person. Along the same lines of unclear humiliation, a popular insult many years ago was to call people a “test-tube baby.”
Johnny L.A.'s refined it exactly, IMO.