Explanation: In the GDR, also known as East Germany, a strict Soviet-style regime was run. The country's secret police - the Stasi - were, in particular, renowned for just how thoroughly they monitored even ordinary citizens, bugging homes and gaslighting dissidents, employing both native Germans and Soviet KGB advisors.
This comic uses that, compared with the fact that Alexa (a modern voice-activated AI assistant for home use) and Alexei (a Russian masculine given-name) sound similar, to make a joke about asking the Stasi to play some music for them while they work.