Dave Van Domelen: “Found objects” is a style of art that incorporates stuff the artist found lying around, to greatly simplify. The joke is that the old lady either:
a) is claiming her real umbrella, which the artist “found” somewhere and put in the art, or
b) thinks it’s the Lost & Found, rather than an exhibit.
Once everybody started explaining this to me, I remembered I did know what “found objects” art was: Some years back my sister-in-law, an artist, invited us to a found art show. She managed to briefly convince me that a janitor’s mop and pail lying on the floor was actually part of the exhibition. She took some pride in being able to fool me; but the way I see it, she just demonstrated how silly the whole concept is.