This, like many things in the show, is a reference to American culture, which might be why you didn't completely get it immediately.
Eating fried chicken is pretty much a racial stereotype for African Americans for various reasons, apparently stemming back to the Civil War and to slavery. Now add to this that Mr. Nancy, or Anansi, as an African god has come to be a representative for the suppressed black community in America in the show, as he also expresses very often himself.
So for Wednesday to get Nancy fried chicken above everything else is either a direct insult, insensitivity, or a total coincidence. But no matter the reason, it's an offense to Mr. Nancy and a joke fitting to the many references to American culture throughout the show.
You could even go further than being a simple joke with this. While Mr. Nancy only makes a short appearance in season 1 (albeit also in a slavery context), season 2 puts a lot more emphasis on the racial issues within American society and Nancy's role therein. In fact, the season so far seems to show that Nancy is trying to rally up the other African gods in order to get his own fight going for the cause of the suppressed African Americans that he understands as his followers and feels responsible to care for.
So this fried chicken thing might just be another incident showing that Wednesday isn't taking him serious and might just be using him. It shows Mr. Nancy yet again that Wednesday ultimately might not be fighting for what he feels worth fighting for and that he might have to go his own way.