The riff: Said in a reassuring way by Joel as the second short immediately begins following the first. Crow then follows up with the Mengele comment.
The explanation: Josef Mengele was an infamous German SS officer and physician at the Nazi concentration camp at Auschwitz. Lording over the place as a sick tyrant, he reportedly was responsible for the personal torture and death of hundreds or thousands due to human experimentation, the details of which are too gruesome to go into here. Suffice to say, this is one of MST3k’s darkest jokes.
Novelty factor: As someone who is into World War II history, this was an obvious one. Moreover, it’s a reference that many people know, as “Mengele” has become synonymous with medical butchery.