Asimov's wife Janet was a Mormon, which may have something to do with the inclusion of this clearly pro-LDS joke in his book. Pages 127-128:
The Pope had called together a meeting of the cardinals and said, "I have some good news for you and some bad news. The good news is this. Our blessed Savior, the Lord Jesus Christ, has returned to earth for the long-awaited Second Coming, and the Day of Judgment is at hand."
There was an exalted silence for a few moments and then one cardinal said, "But Holy Father, with good news like that, what's the bad news?"
The Pope mopped his forehead with his handkerchief and said, "The information has reached us from Salt Lake City."
Janet [Asimov's wife] and I have a special interest in stories about Mormons. In Janet's case there's a loose genealogical connection. In my case, there's an interest in any group that considers me a Gentile.Pg. 90:
Janet likes this story because she doesn't drink coffee. She turns up her nose even at mocha icing. What's more, finding herself not quite able to force me to join her in this strange abstention (though in most things I consider her word law) she has wheedled me into shifting to the decaffeinated version for some weird medical reason or other (She's a physician and it's gone to her head). Anyway, she says this story proves how upsetting a factor the coffee break can be.[Also interesting to note: Asimov mentions Mormons specifically and discusses freedom of speech and freedom of religion (a core Latter-day Saint teaching, one of the Articles of Faith), in his essay "Freedom", first published in IASFM.