Heh.

Has anyone ever realized how the word "innuendo" sounds a little like "in your end-oh", which is an innuendo itself?

Used as a response to any accidental innuendo or innuendo-like wording. It's an onomatopoeic notice to the speaker that what they said sounded dirty without being too much of a smartass about it. Heh. is something like "that's what she said", but it's more flexible as it can be used in more situations. Even though this is true, Heh. loses some of its power when it's applied to a phrase that was already sexual or alluding to a sexual situation.