I just wonder what kind of jokes Native Americans made (before contact with Europeans). It doesn't seem to be a subject that's brought up often.
There's an amusing character in Lenape stories that I've recently become familiar with named Wehixamukes. While I can't vouch for these stories being pre-Columbian exactly, they're certainly set in that era. The usual premise of a Wehixamukes story involves someone giving him an order or making a request, and Wehixamukes doing exactly what they asked.
For example, in one, a group of Lenape hunters spot a large number of enemy warriors approaching from a distance. Knowing they can't hope to fight off such numbers, they hide. Only Wehixamukes is hidden in a place where he can see the enemy, and the leader of the hunting party tells him "Once the enemy has passed by, let us know it's safe to come out." But as the enemy approaches they suddenly change directions.
Wehixamukes jumps out of his hiding place and shouts "Come back! I'm supposed to tell these others when you've passed by and they're hiding over here! You need to come this way!"
The exasperated leader comes out of his hiding spot. "Since you let the enemy know we're here," he says, "you'll have to defeat them yourself." Of course, the exact wording he used literally means "knock down," not "defeat." So Wehixamukes runs over to the already rather confused enemy and just starts pushing them to the ground. When one stands up, he just pushes them down again. Eventually the enemy decides they've got more important things to deal with than this crazy guy and leaves. When Wehixamukes returns to the rest of his party, they say "You could have killed them easily. Why didn't you?" Wehixamukes replies, "I knocked them down like you asked. If you wanted them dead, you should have said so!"
Of course, Wehixamukes doesn't play the fool in all the stories about him. He's a bit of a trickster, so there's other stories about him using his cunning to outwit his enemies and defeating them through surprising means, like using a deer he had killed to disguise himself as a bloodied corpse or using a pot of boiling porridge to disarm them.
Louise Burkhart has made an attempt at understanding pre-Columbian Aztec humor by looking at colonial theater plays. She argues that some of the humor in the plays are probably reminiscent of humor before European contact such as administering medicine via the anus or by renaming characters from European plays to reflect ideas and notions of pre-Columbian rulers (i.e. naming a character Tizoc after a rather inept emperor). I encourage giving her paper a read as it is illuminating for the colonial period at the very least.
I worked briefly with anthropologist Dr. Mary Weismantel about 15 years ago when I worked at a museum that had a large number of [Moche erotic pots] (https://www.flickr.com/photos/retrorocketrick/sets/72157625750708997/), and she was working on an [article] (http://onlinelibrary.wiley.com/doi/10.1525/aa.2004.106.3.495/abstract) about them.
She came to the conclusion that they were likely intended to be wacky, rather then the gravity-filled comment on human sexuality we were treating them as.
The Lakota tribes had an character called Iktomi that was involved in many humorous situations. He was also a trickster and usually the stories would take the form of him getting in trouble, then using his wits to get himself out. Paul Goble has modernized some of these stories into childrens books if you are interested.