I’m not sure if I buy all of what Jovan’s saying about the regional differences - I never quite got to fluent so I’m not quite able to judge - but in my experience, Japanese can be riotously funny with marvelous puns and biting wit. (It can also be shockingly crude: fart jokes were a staple of family-hour cartoons.)
The real problem is that verbal humor requires cultural context and translates poorly. For example, one of my favorite books in Japanese is Wagahai wa neko de aru. The only way to translate that literally into English is “I am a cat.” Which isn’t funny at all. In Japanese, it’s clear that the cat is expressing itself with incredible hauteur (actually, since it’s a cat it’s perfectly credible, but I digress) - a pale approximation might be “We are a cat.” But that still doesn’t get it across.
That’s why the English-language comedies that do well abroad are usually those that are very physical: pratfalls are universally funny.
I will also venture that Japanese (and, I think, many other East Asians) are rather more acutely afraid of embarrassment than Westerners. One thing I found in teaching in Japanese schools is that pranks are almost never meant to be just funny - they’re malicious. Not something friends do to one another. So playing a joke on Japanese person - even a mild one meant only affectionately - can come across as bewilderingly nasty.