An allusion to the English turn of phrase “Fool me once, shame on you, fool me twice, shame on me,” meaning basically that you should know better than to fall for the same shit twice.
Jay uses it ironically, though, because he does get fooled twice, so “shame on him.”
Jay’s referencing the time he retired after The Black Album, only to come back and drop Kingdom Come: critically, the album bombed. In the next line he builds on this.
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