I don't know whether or not that's true, but there are some more documented examples of comedians dealing with death.
Spike Milligan, a great British comedian of the 50's and 60's (and more), got in a good one. He loved surreal humor (witness The Goon Show, primarily his creation and a major influence in British humor for decades) and clever jabs. He asked that his tombstone read: "I told you I was ill."
Finally, there's the famous comedy/magic team of Penn&Teller. They got a cenotaph (memorial marker) emblazoned with the punchline to many of their tricks, "Is this your card?", alongside a picture of the three of clubs (the card they always use in forces). They want it to be the ultimate punchline and provide directions to the grave site in one of their books so that you can incorporate it into your own card-trick-and-driving-trip.
(In case you're wondering if you missed some news: No, Penn and Teller are both still alive. Anyone can purchase a plot and cenotaph of their choice by ponying up the money. No corpse required.)
True comedians to the end, all.