Just heard Mary Beard talking on a New York Review of Books podcast (the best podcasts outside the BBC that I have found so far), and she happened to mention that for the Romans bad jokes were also cold (“frigidaria” or something, didn’t catch the exact word). So it seems that yet again what seemed like a strange cultural pecularity was nothing of the sort.
Could it come from the shudder you give when you hear a real bad attempt at humour? Not sure I do ever shudder, but I can almost imagine doing so
There don’t seem to be individual pages for each podcast, but the fascinating interview on Ancient Roman humour is third from the bottom here: