Is it wrong to joke about holy things?
The short answer is no, as long as the Sacred is maintained and no blasphemy is committed.
Telling jokes about about the Scriptures, Jesus, Mary, the sacraments and so on, may possibly be permitted in Catholicism. But in all things the sacred must be maintained and blasphemy must be avoided.
The basis for this attitude can be found in the Scriptures. For example, God clearly commands us to respect Him in the Ten Commandments:
You shall not take the name of the Lord your God in vain, for the Lord will not hold him guiltless who takes his name in vain. - Ex. 20:70
You shall not take the name of the LORD your God in vain, for the LORD will not hold him guiltless who takes his name in vain. - Deut. 5:11
More specifically, as regards the Holy Eucharist, St. Paul admonishes the faithful in his first letter to the Corinthians:
Whoever, therefore, eats the bread or drinks the cup of the Lord in an unworthy manner will be guilty concerning the body and blood of the Lord. Let a person examine himself, then, and so eat of the bread and drink of the cup. For anyone who eats and drinks without discerning the body eats and drinks judgment on himself. - 1 Cor. 11:27-29
The sacredness, even in jokes has not to be seen as being disrespected. In fact, disrespecting the Sacred could be considered a kind of blasphemy. The Catechism explains:
Blasphemy is directly opposed to the second commandment. [In the usual Catholic numbering, which follows St. Augustine, that is the Commandment against using the Lord’s name in vain.] It consists in uttering against God—inwardly or outwardly—words of hatred, reproach, or defiance; in speaking ill of God; in failing in respect toward him in one’s speech; in misusing God’s name. … The prohibition of blasphemy extends to language against Christ’s Church, the saints, and sacred things. … Blasphemy is contrary to the respect due God and his holy name. It is in itself a grave sin (No. 2148).
To joke about Jesus, Sacred Scripture and other holy subjects may be permitted, as long as the sacredness of the subject is maintained and no blasphemy is committed. This also goes for story telling and making puns.
My favourite story of Mgr Roncalli, who went on to become Pope John XIII (known also as the Good Pope) although not the best in this situation, does show where I am going.
Msgr. Angelo Roncalli once found himself seated at a banquet next to a woman who was dressed with little regard for the virtue of modesty. Others observed him, wondering how he would deal with his predicament, given his moral convictions and his reputation for diplomacy.
After the dinner, Msgr. Roncalli took an apple and offered it to the woman in question. She declined his offer. Nonetheless, he persisted in his offer, to the point that the woman asked why he was so interested in having her eat the fruit. He responded with a twinkle in his eye, “Because when Eve ate an apple, she realized she was naked.”
Msgr. Roncalli went on to become Pope John XXIII — now Blessed John XXIII. It’s not known what happened to the woman. - The Secret of Modesty
Here is a joke.
What is the favourite baseball team?
No, it is the Angels. He has more confidence in them!