Oxford English Dictionary. double entendre: A double meaning; a word or phrase having a double sense, esp. as used to convey an indelicate meaning.
etymology: French "double understanding," ambiguity
Wikipedia: A double entendre is a figure of speech or a particular way of wording that is devised to be understood in either of two ways, having a double meaning. Typically one of the interpretations is rather obvious whereas the other is more subtle. The more subtle of the interpretations may convey a message that would be socially awkward, sexually suggestive or offensive to state directly.