I've heard this joke a billion times and have never met anyone who thought Zelda was the boy.
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Logo uses joystick by liftarn
It's an old joke. It was mocking parents of millennials who called every game system "a Gameboy" or "a Nintendo" and called protagonists of the game by the title, like Halo for Master Chief or Zelda for Link.
The joke is mostly played up. Most of the time adults just didn't care or leaned into the cringe for fun, but that is my experience around it. Gaming has become so prolific since then that the joke has been beaten into the ground and resurrected elsewhere (see streamers calling their characters John Ring for Elden Ring or John Halo, as examples).
It's just a silly joke about people not knowing about games. You can see other, similar, humor in people calling Tim Cook 'Tim Apple' for example, but that obviously has different origins, it's just kind of a similar idea.