An ambiguity with one interpretation that is indelicate WordNet 3.0 & Open English WordNet

A double entendre is a figure of speech or a particular way of wording that is devised to have a double meaning, of which one is typically obvious, whereas the other often conveys a message that would be too socially awkward, sexually suggestive, or offensive to state directly. Wikipedia

Wording that is devised to be understood in two ways Wikidata

A phrase that has two meanings, one innocent and literal, the other risqué or bawdy. OmegaWiki

A phrase that has two meanings, especially where one is innocent and literal, the other risqué, bawdy, or ironic; an innuendo. Wiktionary

Phrase with two meanings. Wiktionary (translation)