Oh, I can see that the joke was made in Italian originally
Although the slang "asshole" is coming effectively from "ass hole" (rectum, if you prefer the "clean" word), "a fucking asshole" would be more like saying a complete idiot. The "fucking" is an expletive meant to underline the fact of being an "asshole" (well, itselft the kind of word in USA they "beeped" in the past, and maybe even now), and/or as an extra insult to said "asshole", at maximum if one wants to make a double joke, it could be taking as meaning the "asshole" is actually fucking someone (even if not in the precise moment the phrase is said). I knew myself "fucking assholes" for whom both meanings of "fucking" applied :-D
I believe the closest translation to the Italian original would be "we really fucked you up you ass", "you really took it up your arse", and variations - though I bet we all understood the joke correctly anyway ;-)