What's the reasons for them asking for an electrum wallet to satisfy KYC, I'm not sure this is a legit casino cause asking for your electrum wallet in regards to income shouldn't be a requirement.
I don't  find this funny and I think you should withdraw from doing that to be on the safer and to be sure your funds are safe and secured.

Or is it that they needed income statement for your electrum account to satisfy your KYC requirements? If it's that then it's not a big deal and it's just for you to go print out your electrum wallet statement to satisfy that, tho I haven't gone through such processes before to give full details on how it should go but you need to be careful with such tho.