As I was asked, it is only polite to reply.

To me, the Anne Frank joke is funny because (a) it introduces absurdity into what we have culturally come to agree is a deeply serious situation, and thus (b) it generates incongruity, which as any student of humour will tell you, is a key constituent part of most comedy.

It is not a joke about Anne Frank herself, it is a joke about the cultural 'rules' which govern (often for good reason) our attitudes towards certain historical figures and events. Sometimes it is good to open a safety valve and laugh at the 'un-laughable'.