Jews account for most of the great stand-up comics in America.
Jews tend be secure in themselves and have no problem making fun of themselves — as opposed to, for instance, Muslims who are always crying about dishonor. If you’re always worrying about dishonor, you’re probably not going to make many jokes in public about your group.
The word “Israel” means “struggle with God.” Jews since Abraham have argued with God. Jewish kids will read the Torah portion at their bar mitzvah and then spend much of their speech arguing with what they just read.
If Jews argue with God, they’re certainly not going to be easily led by some guy from Nazareth who claims to be God. Instead we’d respond, “Josh thinks he’s God. What a nut.”