A joke about Baptists (or other denominations) is:
 
Q: Why do Baptists forbid having sex while standing up?
A: It might lead to dancing.
   
The joke has been cited in print since at least 1983.
 
   
Google Books
TV Guide
1983
Pg. 40:
A fundamentalist minister, on a radio call-in show to which Paar was listening, was asked why he was opposed to people having sex while standing up. It was wrong, he said, because it was inclined to lead to dancing.
     
Google Books
Bulletin with Newsweek (Australia)
Volume 103
1983
Pg. 54:
“It’s the Methodists here in NSW They’re determined to ban vertical or, if you prefer, perpendicular intercourse.”
 
“But why?”
 
“Because they think it might lead to dancing.”
   
Google Books
Greek Revival
By Firth Haring
[Place of publication not identified]: Guild Press
1985
Pg. 264:
“Why was the Baptist minister against sex standing up?”
 
“It leads to dancing?”
 
“You heard it.”
 
28 June 1986, Washington (DC) Post, “Why Not Sell The ‘Crown Jewels’?” by David Dreier (Republican representative from California), pg. A21, col. 2:
Such reasoning reminds me of the preacher who railed against free love because it might lead to dancing.
   
Google Books
Why I Am a Mennonite:
Essays on Mennonite Identity
By Harry Loewen
Scottdale, PA: Herald Press
1988
Pg. 252:
In the Bible this ultimate union is often seen in terms of a sexual metaphor, reminding one of the joke that Mennonites object to having intercourse standing up because it might lead to dancing.
   
6 May 1988, Toronto (Ontario) Star, “Is United CHurch goin sex mad?” by Gary Lautins, pg. A3, col. 1:
Even at my old university (McMaster) the Baptists did not allow on-campus sex. They were afraid it might lead to dancing. Sorry, old joke.
   
Google News Archive
26 September 1996, Spartanburg (SC) Herald-Journal, “The Stroller” by Lou Parris, pg. B1, col. 1:
Quips a wag: ‘Baptists don’t believe in making love standing up. It might lead to dancing.”
 
Google Books
The Last Days:
A Son’s Story of Sin and Segregation at the Dawn of a New South
By Charles Marsh
New York, NY: Basic Books
2002
Pg. 205:
Dancing was the devil’s business — Baptists didn’t make love standing up, the joke went, because it might lead to dancing — and here was my mother, red-faced, nearly ecstatic, swinging between my father and Kent in syncopated rhythm.
 
Google Books
The Songman:
A Journey in Irish Music
By Tommy Sands
Dublin: Lilliput; United States: Dist. by Dufour Editions
2006
Pg. 192:
Wasn’t there a joke going round about that? ‘Why are Presbyterians not allowed to have sex standing up? Because it might lead to dancing.’
     
Twitter
J
‏@jonodavis
‘The kind of place where sex standing up was banned, for fear it might lead to dancing.’
2:31 AM - 31 Oct 2008
 
Google Books
Lessons from the Holy Wars:
A Pakistani-American Odyssey
By Rob Asghar
Tucson, AZ: Wheatmark
2010
Pg. 158:
One of my favorite jokes is, “Why do Southern Baptists avoid premarital sex? Because it might lead to dancing.”
 
Twitter
Whit
‏@mothershipwhit
Q: Why don’t Calvinists have sex standing up?
A: They’re afraid it might lead to dancing.
12:57 AM - 5 Apr 2010
 
Google Books
Mennonite Girl at the Welcome Inn
By Mary Ediger
Victoria, BC: FriesenPress
2015
Pg. ?:
“Why don’t Mennonites have sex standing up?”
 
“Because it might lead to dancing.”
   
The Bay Area Reporter
Death of the disco dancers
by Paul Parish
Published 07/28/2016
(...)
The old joke goes, “Q: Why do Baptists forbid kissing standing up? A: It might lead to dancing!” But in fact, Baptists did anathematize dancing, along with drinking and sex outside marriage.