Comedy only really works when you are punching up, being self-depreciating, or using funny stories to relate to people who the audience may feel they otherwise have nothing in common with(jokes about dating, interacting with people of other races, interacting with your children, going to foreign countries).
Modern "conservatism" is the exact antithesis of that sort of thinking. And what "comedy" they once had (i.e. punching down and complaining about people complaining about them) has literally become their talking points, so there's nothing left to turn into comedy. Add to the fact that "comedy" is the excuse used to excuse racist/sexist/homophobic talking points, it makes the idea of "conservative comedy" even more meaningless. There's no point in being a conservative comedian when literally every conservative apparently is a professional comedian when their back is against the wall.