Bennett Cerf told this story. I know it isn’t the joke, but it has similar elements about achievement = acceptance (with a second theme of the oppressed become the oppressor):
There was an African gentleman, a citizen of the British Commonwealth, who immigrated to England in the 1950s. He found employment as a butler, and prospered. But his one ambition was to get a fine suit made by a first-class English tailor.
To that end, he saved his money up for months and months, and finally went to the tailor’s shop on Saville Row. There he picked out the material, and the tailor fitted him and went to work. After many visits, the finished suit was ready.
The gentleman stood in front of the mirror in his fine new suit.
And burst into tears.
The tailor was crestfallen. “Please sir, tell me what’s wrong, and I’ll make it right immediately!”
The gentleman replied, "No, no. The suit is fine. But why did we have to lose India?!"
I’m also reminded of Einstein’s prediction that if his theories turned out to be correct, the Germans would say he was German, and the French would say he was a citizen of the world. If incorrect, the Germans would say he was Jewish, and the French would say he was German.