Firstly I would not say I am upset, I just found it slightly distasteful. I would not make the same joke if they were found in Brighton. Yes I would not find it funny either if it was on the BBS. As I have said many times, I am an individual with my own opinions and thoughts as I am sure you are, for me it is not always about CPFC vs BHA, in fact the only time I really care is when we play each other or when someone says something that is a load of B&$()£"k's.
I have a very broad comedy range and find Jokes that others find distasteful funny, such as some racist(Including white jokes) and homophobic jokes. But then I do not find being a certain colour or being gay necessarily a bad thing so I do not see it as taking the pish out of a "victim" of something if you like.
Yup, I can see why some people would find it distasteful, but the butt of the joke is not the women found enslaved in London, but Palace. The women's tragic circumstances are just a simple hook around which to have a pop in jest at your club.