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If the moral is that there is no moral, it's probably a Spoof Aesop.
Spoof Aesop doesn't sound quite right insofar as the name already says: It doesn't follow from the story (at least without applicating copious amounts of Insane Troll Logic). Whereas "this story has no moral" is meant in earnest (of course this might provoke you to search for one). <scratches head>
Could be as simple as Aesop: Averted or subverted.
The Moral: There is no moral. (I know at least a whopping 2 examples offhand, but it sounds VERY common.) But what is this? A meta subverted Aesop?