Comedy, especially the performance or standup variety, is frequently about transgression. Generally speaking, it's hard to be both conservative and transgressive. Even comedians that deliberately mock various modern, leftist tropes (Daniel Tosh would be an example) are still generally abhorrent to genuine conservatives. Shows like Southpark and Family Guy are frequently transgressive and mock left-wing politics, but they're not conservative at all.
I don't think it would be fair to say that conservatives don't have a sense of humor since there's plenty of apolitical humor available, but it's hard to make jokes that are conservative per se.
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There are a lot of angry old white men that are pretty fuckin' funny. If you don't think George Carlin was funny, you probably have a pretty stunted sense of humor.
If choosing between angry old white men and sanguine young black women for comedy, it's going to be a pretty easy choice.