I suspect you're right that fundamentalism in any religion dampens the sense of humour. Climate needn't be the only factor, but it's an under-appreciated one.

I'm not so sure that Orthodox Jews are as humorless as fundamentalist Muslims, though. At any rate, the fundamentalist influence here is really a political one: Zionism or hatred of the US, for example. I think Orthodox Jews do laugh at their religion; they have no choice but to be humble because of the history of Jewish subordination. If they take their religion seriously, it's to protect Israel from being assimilated or destroyed.

Militant Islamists are serious not just about sharia but about the political mission of jihad.

So this is indeed a complex phenomenon with multiple causes.