What if the book of knock-knock jokes, and the strong hint, don't work? If this man is really a bully,what next?

This "nice" man has created a hostile work environment for her, and clearly takes pleasure from her distress. Is the next step a talk with Human Resources? Or a whistle to blow next to his ear when he gets back to his cubicle? Does he like the adrenaline rush when this is done to HIM?

Any time someone says "no it doesn't" like he did, that's a sign of a sociopath, not someone who wants to be friendly.