OK, I’ve heard “Who’s on First” a gazillion times, but there’s one joke I don’t get. Can anyone explain this to me?

Abbott: Strange names, pet names…like Dizzy Dean…
Costello: His brother Daffy.
Abbott: Daffy Dean…
Costello: And their French cousin.
Abbott: French?
Costello: Goofé.
Abbott: Goofé Dean.

The audience on the recording laughs at this, but I just go, huh? Goofy Dean? French? I’m missing something. Why is this funny?