I don’t think it’s at all clear why he picked Danbury. I assumed he had a personal connection to the city. And he didn’t mind the suggestion of renaming the sewage treatment plant. He did mind that the mayor said it was a joke and they weren’t planning to do it.
The origin of the beef was a report about how the private company that was hired to compile potential juror lists just happened to not include more urban areas around Hartford where the population is more racially diverse, so the juror pool ended up not reflecting the racial makeup of the area. From a bigger story about how jury pools across the country are generally whiter than the constituencies they are drawn from.
That’s the point. The joke wouldn’t be funny if there was a reason to hate Danbury, or even a reason to THINK about Danbury. It’s much funnier if it appears as if Oliver’s “hatred” for Danbury is completely without rhyme or reason. An anonymous, milquetoast town is the perfect target.