I know how you feel Dave. I used to have the same problem with my mother when I was growing up. It was very frustrating trying to tell her jokes. You would get to the punchline, and she would say something like "Yes, and what happened then?" and I'd say "that was it." and try to explain it. Then she would sometimes say later that she did get it, and it was quite funny (without the slightest hint of a smile) - but it was obvious she was just pretending.
At first I tended to take it personally, thinking there was something wrong with the way I was telling it, but after a while I realised it wasn't me at all. She was that way with everybody. She was intelligent enough to be an English teacher, but she seemed to have had her sense of humour surgically removed. It reminds me of something I've heard kids say when they hear a weak joke "That was so funny I forgot to laugh!"
In contrast to her, my dad had a great sense of humour. I like to think I have inherited my sense of humour from him.