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In this quote, Rodney Dangerfield is using his signature self-deprecating humor to joke about how poor his family was when he was growing up. The humor comes from the double meaning of “playing with” – as a child playing with toys, and an adult playing with or being intimate with a partner.
So he’s saying if he hadn’t been born a boy, he wouldn’t have even had any toys to play with as a child because his family had so little.