The one I am most familiar with is a double entendre. Merriam-Webster gives

double entendre

noun dou·ble en·ten·dre ˈdüb-əl-äⁿ-ˈtäⁿd(-rə); ˈdə-bəl-än-ˈtänd(-rə)

1 : ambiguity of meaning arising from language that lends itself to more than one interpretation 2 : a word or expression capable of two interpretations with one usually risqué

The word is Double-Entendre. This can refer to any sentence with two meanings, but most often is used when one meaning of a sentence is innocent and the other is sexual.

If it has an unintentional sexual undertone, you might call it a Freudian Slip, implying that someone's sexuality accidentally expressed itself.

A colloquial phrase for this is "... if you know what I mean." This is useful for when you want to call to attention the sexual meaning a sentence can have.

The phrase Sexual Innuendo is what I would say they're using.

The term sexual innuendo has acquired a specific meaning, namely that of a "risqué" double entendre by playing on a possibly sexual interpretation of an otherwise innocent uttering. For example: "We need to go deeper" can be seen as either a request for further inquiry, or a request to go deeper into an intimate part.

Innuendo on Wiki