Don't get worried, they're laughing at you.
Zubair is obviously the diminutive form of
"zabir" (starting from letter "dad") that
means "hard, strong".
On the other hand, "penis" in arab is "zubb"
(starting from "zain"), diminutive form will
be "zubaib" or, less probably, "zuwaib". Not
"zubair" anyway.
So, relax! Good luck!