If I Google "table dancing" (in a fresh new browser I just installed on incognito mode with a VPN and everything + I never watch porn or search this stuff or anything, so it's not just customizing it to be sexual for me - I encourage you to try this yourself) the first result in the Wikipedia article about it, which reads:

A table dance, or bartop dance, is a dance performed at (or on) a table or bar, as opposed to on a stage. It may be an erotic dance performed by a sex worker or it may be done as a leisure activity.

As you keep scrolling down, the next thing it shows is images of erotic dancers table dancing, the next thing is a list of nearby strip clubs, the next result is the dictionary.com entry for table dancing which reads:

a form of entertainment in which naked or scantily dressed women dance erotically at the tables of individual members of the audience, who must remain seated

The next result is videos of erotic dancers table dancing. And so on, and so on.

So, yeah, there's definitely, without a doubt, a strong sexual/erotic connotation/connection to the term and the joke they made.