Double Entendre

double entendre is a figure of speech or a particular way of wording that is devised to be understood in either of two ways, having a double meaning. Typically one of the meanings is obvious, given the context whereas the other may require more thought. The innuendo may convey a message that would be socially awkward, sexually suggestive or offensive to state directly (the Oxford English Dictionary describes a double entendre as being used to “convey an indelicate meaning”, whilst Longman Dictionary of Contemporary English defines it as “a word or phrase that may be understood in two different ways, one of which is often sexual”).

Source: Wikipedia