You might want to reread the Gospels. Jesus actually had a pretty dry sense of humour.

He mocks religious leaders for “straining out a gnat but swallowing a camel.” He compares hypocrites to whitewashed tombs that look nice on the outside but are full of bones.
And then there’s Simon Peter. Jesus nicknames him “the Rock”… and not long after, the Rock tries walking on water and immediately starts sinking.

As for why Christians talk about mercy so much, that is pretty simple. If you think you deserved judgement but got mercy instead, that is probably the trait you are going to be most grateful for.

But the idea that the God revealed by Jesus Christ has no humour is lacking. He taught with irony, exaggeration, wordplay, and trap flipping. Not stand up comedy, but the kind of dry, clever humour that makes the crowd laugh while the target realises they just got roasted.