The riddle
What Do You Call a Duck That Steals?
Close, but not identical
Robbers take things that belong to others, and a rubber ducky is a bath toy. Merriam-Webster gives "robber" an "ah" sound in the first syllable and "rubber" an "uh" sound. The rest of each word matches, so the two differ by one vowel sound. In casual American speech they land close enough for the pun to work, though not identical, and the joke depends on a listener hearing "robber" as "rubber" for a split second.
Where rubber got its name
Britannica says the English chemist Joseph Priestley named the material "rubber" in 1770 because it could rub out pencil marks. A rubber duck is named for that material. It floats because it is hollow: Britannica explains that an object floats when its average density is less than the density of the liquid, and the trapped air lowers the duck's average.
How the joke is built
The structure is a familiar one: take a well-known phrase, change one sound, and describe a new character. "Rubber ducky" is the phrase, and "robber ducky" is a duck that takes things. The joke asks for nothing about real ducks. It is about two words that sit one vowel apart. Because both are ordinary words, the listener has no strange term to decode, only a slight mishearing to catch. If a toy duck is nearby, hold back its squeak until the group has guessed, since the sound gives the answer away.
A mild villain
A duck that takes things is a gentle kind of troublemaker, and the riddle keeps it that way. Tell it with a small squeak or a quack and let the group decide what the robber ducky might have taken.