Under such conditions, it can seem disrespectful, or socially risky, to be seen as too humorous, so what I think a lot of Germans do is hide their humor in seemingly non-humorous situations.
I had a college professor who once received a grant from a German publishing magnate. This was in the sixties, in West Berlin. In the limo, they pass Bismarck's war memorial, commemorating the German victory over France in 1870. The American Prof. remarked jovially that since they had raised that war memorial, Germany hadn't won any more wars. The German publishing magnate was not amused.
Later, in the publisher's office, the tables were turned, humorwise; the publisher's office window looked out directly on the Berlin wall. Remarking on the wall built by East German chancellor Walter Ulbricht, the publisher leaned back in his chair, steepled his hands, arched his eyebrows, and in a very slow and stilted voice remarked that "kom-rad Uhhllll-bricht hasss his vall, und I hav mein". Well, of course, he was referring to the same wall, the Berlin Wall! It was very tongue-in-cheek, very subtle, and the kind of thing one could brush off as a non-joke if anyone was offended by it.
Actually, weren't there a lot of musical type comedy acts at cabarets in Berlin in the 1920s?