Chicago is full of cute double entendres, and this is the first. When the club owner tells Velma that she's killing him, he of course means it figuratively. He doesn't yet realize that Velma literally just killed her sister and her husband.
ROXIE: That was the night Velma Kelly plugged her husband and her sister.
Scandalous acts of violence become ways to tell time. In the world of Chicago, everyone knows where they were when Velma Kelly committed double homicide.
AMOS: I'm telling ya, it's the God's honest truth, my wife had nothing to do with it. She wouldn't hurt a worm—not even a worm.
Poor Amos doesn't realize—or want to realize—that his wife would kill a worm. Because if Fred Casely was anything, he was a human worm.
ROXIE: Yeah, I killed him! And I would kill him again!
Roxie has no reservations about violence. We're not sure if this outburst is because she's still angry at Fred's betrayal or because she knows it's the first step on her road to fame.
VELMA: Look at this Mama: an editorial denouncing me in Redbook magazine. "Not in memory do we recall so fiendish and horrible a double homicide."
Glossy magazines can paint a glossy picture of murder. They pretend to condemn Velma Kelly, but they know an article on her will sell more issues because the public is as drawn to violence as it is repelled by it.
LIZ: So I said to him, I said, "You pop that gum one more time…" And he did. So I took the shotgun off the wall and I fired two warning shots… into his head. […] ANNIE: You know, some guys just can't hold their arsenic. […] JUNE: Then he ran into my knife. He ran into my knife ten times.
In the "Cell Block Tango," one way the merry murderesses get you to empathize with them is by making a joke out of their crime. Adding humor waters down the violence and makes it more acceptable.
MAMA: In this town, murder's a form of entertainment.
Mama says this as though it's a criticism, but she has to know that she is implicit in it. She treats her violent criminals as though they're performance artists.
ROXIE: Who says that murder's not an art?
This line from "Roxie" is spot on, and it proves Roxie Hart isn't just a murderess; she's an artist.