Well for one thing, I don’t think that the conservative mentality and most types of humor mix very well. Someone capable of not taking things seriously probably wouldn’t be a conservative in the first place.
And I expect most of what actually passes for conservative humor is deeply bigoted and generally juvenile, and not the sort of thing they want to expose for public consumption. Remember “Barney Fag” and “Ellen Degenerate”? Bigoted, and something out of grade school. And there’s all the race based “humor” aimed at Obama, like the White House with a field of watermelons, or portraying Michelle Obama as a monkey. Conservative humor is going to be mean and bigoted because they themselves are mean and bigoted. Lots of nasty race and sex jokes.