The riddle
What Kind of Music Did the Pilgrims Enjoy at the Feast?
Two kinds of rock
Rock is a style of music and also a stone. Wikipedia says rock and roll arose in the United States in the late 1940s and early 1950s, and credits a Cleveland disc jockey, Alan Freed, with first using the phrase in 1951. Rock music was therefore more than three centuries away from the settlers' time, which is part of the joke. The answer names a stone, and nobody is claiming the settlers heard a guitar.
A boulder with a short paper trail
Wikipedia's article on Plymouth Rock calls it a boulder. The first known written reference, in 1715 town boundary records, describes it as "a great rock". In 1741 a man named Thomas Faunce, then 94, said it was the landing place. Neither Mourt's Relation nor William Bradford's history mentions a rock at all. The famous stone is a tradition, not something the first settlers wrote down.
Broken, moved and rejoined
The rock broke in two in 1774 when townspeople tried to move it to the Town Square. In 1834 a large portion was taken to Pilgrim Hall, and in 1880 it was returned, rejoined and inscribed. In 1920 it was placed beneath a granite canopy designed by McKim, Mead & White at a new shoreline site, where it sits in a state park. Visitors chipped away hundreds of pounds as souvenirs, and about a third of the original remains. Its original weight is estimated at 20,000 pounds (9,100 kilograms).
Giving the answer
Listeners usually guess an instrument or a style. Ask the question with a serious face, wait for a guess or two and give the answer plainly. Another holiday riddle with a deliberately silly answer is the one about the turkey and the road.