Lunatic Llama

A coworker told me this joke today:

A rabbit is running away as fast as he can from Cochabamba to La Paz and on the way encounters a llama.
“Where are you coming from?” the llama asks.
“From Cochabamba,” the rabbit replies.
“Why so fast?” asks the llama.
“The Cochabambinos wanted to cook a duck, and tried to cook me,” says the rabbit.
The llama exclaims, “But you aren’t a duck. You’re a rabbit!”

It’s apparently some reference to the stubborn nature of Cochabambinos but I didn’t get it either.