In Hay's deadpan delivery and Scottish accent, it's possibly funnier in the telling than how it reads. But you can hear why Hay, who went solo after the band broke up in 1986 - he's released a dozen solo albums since - has branched out into comedy.
His return to Auckland is as part of this year's comedy festival. He's been doing comedy gigs at other such events for years after realising his stories between songs were becoming a big part of this show.
"The comedy thing really started when my old band broke up. I didn't really know what to do so I thought, 'I will just go out on the road and do some shows' - and there was hardly anybody there. Literally, there might be 15, 20, 25 people. I thought 'that is kind of weird' because I had gone from playing to 50,000 people to playing to 15. Not that I minded playing to a smaller audience.
"But I could sense that the audience were almost a bit embarrassed for me. I felt like perhaps an explanation was in order. There became something conspiratorial about it - I'll tell people what happened to me and I started talking to people about various characters that I met or just things that had happened or just stupid things to amuse myself more than anything else.
"And it became part of the show. It has become that over the past 20 years really."
Hay says performing - and the talking - was therapeutic.
"There was probably a lot of sadness about the demise of what for me had been a great dream for a long time - of having a great rock band - and there was the emotion involved with that.
"Sometimes you feel like your life is a bit of an arc and that brilliant moment, if you like, was gone. Your life is not really made up for a series of those moments so when you have that moment it is so extreme you go 'I want that again' and it's kind of dangerous.
"I used to drink a lot as well and I stopped drinking. So going out on the road was a great salvation in a sense because I could redirect that energy I used to spend on getting f***ed up to doing something that was actually creative."
Hay's modest solo career did get a boost by the use of his songs in the sitcom Scrubs - getting him played on college radio in the US - and its star, Zach Braff, used another in the soundtrack to his movie Garden State. It wasn't exactly Down Under all over again, but it gave Hay's career a gentle second wind. "Though I think you have to have already set sail to get a second wind. You can't just sit in the harbour, you know?"