Oh, come on. That one was a triple-entendre, and I worked for 5 minutes on it!
First of all, the penguin is holding an icicle, and it makes sense, and "icy" could mean as spelled, or "I see".
Second, what's a blind person, penguin or otherwise, doing with an icicle and saw?
Finally, saw is both a literal saw, and the past tense of "to see".
Thus, the blind penguin saw, (prompting an "Icy" referring to both the icicle and the saw) because the joke says he did: "... picked up the icicle and saw.
Get it?