A gem of a tune that didn't get the accolades it deserved, my opinion, was Prine's "The Late John Garfield Blues." The only song I am aware of that relates a joke within the lyrics:

"Two men were standing on a bridge,
One jumped and said, 'You lose,'
And left the other one standing there,
With the late John Garfield blues" - John Prine, "The Late John Garfield Blues"