KING: Berowne, they will shame us; let them not approach. BEROWNE: We are shame-proof, my lord, and 'tis some policy To have one show worse than the King's and his company. (5.2.237-238)
The King is worried that the yokels' play will further show him to be a dishonorable man. Berowne assures him that, in their situation, there's nowhere to go but up.