A mummy's favorite type of music is wrap music. This is a joke that is an example of a pun using the homonyms wrap and rap, which sound alike but have very different meanings.
This joke also exploits a common misconception that a mummy must be wrapped in cloth. Wrapping the body in linen after the desiccation of the corpse is something that happened for the high-status members of ancient Egyptian society, even though the process of mummification was common at the time. Mummies can occur naturally in bogs and frozen or dry climates as well, and no wrapping is necessary.