Det är ett skämt. Det fanns ingen planer för en uppföljare. Detta förklaras på Wikipedia :
Despite the preview, no sequel has been released, and the “Part I” of the film’s title is merely a historical joke (The History of the World was a book about the ancient history of Greece and Rome, written by Sir Walter Raleigh while prisoner in the Tower of London; he had only managed to complete the first volume before being beheaded).