"When I was running at the Rio Olympics I was running for my country, but comedy is something I've always wanted to do.
"While it was obviously so important to perform for New Zealand this is even more pressure because it is something I want to be good at."
Malone appeared at the Birds of Paradise Theatre which aims to promote disabled artists.
Malone's act didn't get a lot of laughs on the recorded segment, but one story got a hearty reaction.
"The weird thing that happened after the Paralympics…I received thousands of messages from people with amputee fetishes and they all wanted the same thing, a photo of my stumps," he told the BBC.
"… disgusting right, they'd send me these messages 'I'll pay you $50 for a photo of your stumps'. I wrote back 'I am a Paralympic double gold medalist, I'm at least worth $100'."
Malone then told the audience: "I feel lucky to have no legs, if I didn't have no legs I would be the most boring, basic dude form Nelson and I'd have nothing different about me. I'd probably be a builder. I don't see it as a disability."
He described to the crowd how he was born with a congenital defect and had his legs amputated at the age of two.
Mairi Taylor, the theatre's executive director, said: "I think it's important to see society at large reflected."