Q:

Please explain this joke about two nuns in a bath

I've heard this joke several times, but I'm ashamed to say I really cannot understand it. It just doesn't seem to make any sense however I look at it.
I have a suspicion that it is supposed to be rude, so I'd like to offer my apologies if it causes offence- that is not my intension.
Here's the joke:

Two nuns are in the bath.
Nun1: Where's the soap?
Nun2: Yes, it does rather.

Edit: I understand the pun on "where's"/"wears". But what I don't understand is why that is funny. Several people have mentioned that there is a sexual inference, but I don't understand where it comes from.

A:

"Why is this funny?" may be one of the hardest questions to answer. Humor is subjective, circumstantial, and, not infrequently, ineffable.  
Personally, I don't think I'd ever encountered a nun joke before this, as I didn't grow up in a community with many Catholics and nuns didn't really seem relevant to our lives. Thus, like OP, I would never have understood the joke by myself.
The other answers show that an understanding of the joke requires some basic cultural assumptions - here, that nuns are secretly lewd (and sometimes, apparently, lesbian).
When the one nun asks, "Where's the soap?", the other takes this as a declarative comment about her current (apparently masturbatory) use of the soap: "Wears [out] the soap." The guilty nun then affirms that "Yes, it does, rather."
Why do some people find this funny? Because they already have a history of finding sexualized nuns funny, and this joke triggers their comic affection for that idea.
There are innumerable jokes that similarly necessitate some level of preconceived notion for their humor to be apparent. Let's look, for instance, at this "dumb blonde" joke:

The waiter asked the blonde if she would like her pizza cut into
  six pieces or twelve.
"Six, please," she said. "I could never eat twelve!"

Why is this funny (to the extent that it is)? Because its audience has been programmed (probably from a young age) to find the idea that blondes are stupid funny. The joke itself doesn't much matter in its details - it just has to trigger that automatic comic response.
Examples abound - jokes about how Jewish/Asian/[insert modifier here] men have small penises, jokes about how "you might be a redneck if...", and on and on. Ultimately, they're contextual, and no amount of explaining the context will make the joke funny (even if it makes it decipherable). 

A:

Rudeness to Follow:
The first nun cannot find the soap because the second nun is masturbating with it.
The humour in the joke, such as it is, flows from profaning the sacred by sexualizing nuns who have taken vows of chastity.  This is obviously a vulgar form of humour. 

A:

Everyone seems to be concentrating on the pun aspect, which is, of course the punchline, but to answer the OP's dilemma

But what make that funny? It seems to me that it's only funny if you
  know it's supposed to be a joke and therefore fill in the blanks
  accordingly.

We know it has to be joke as soon as we hear 1) two nuns and 2) they're in a bath together. It's not merely a jocular exercise on words, it is one of the most powerful tools in a comedian's repertoire; the taboo joke, or otherwise known as the "blue joke".
I mean how often do you read about two nuns sharing a tub together? It's a great opening line; short, pithy and mildly shocking. Men especially appreciate the first line because it reminds them of their erotic fantasies; two young females, naked, sharing a bath. only this time, they're nuns. 
It has all the perfect ingredients for men to laugh out loud; lewd jokes are humorous because they give the listener permission to indulge him/herself in a brief sexual fantasy. We know it's not the done thing, it's naughty, and very rude but it's not our fault. We are innocent victims so to speak; we are forced to see the erotic and absurd image (two naked nuns) in our mind's eye; as a result, some may nervously laugh to cover their embarrassment; some will take delight in exposing the hypocrisy of the church's teachings of purity and celibacy; and some will revert back to their childhood when it was enough to hear the word, poo, to explode into a fit of giggles and smug smirks. 
I call it "school-boy humour".

