Regime change is never easy, dear.
A play on the phrase "change is never easy" --- this is a phrase that couples might say to each other to comfort them after, e.g., a family member passes, or their children move out. Here, "regime" is inserted, which forms the term "regime change", which refers to the usually violent change of governments during, e.g., revolutions. The nonchalance of the woman and the worry of the man looking at the soldiers enacting the regime change is what makes it funny.