Well, there is a saying that the most depressed and sad people are the ones who try to be the happiest. However, this does not necessarily applies to the comedians. While it might be true that many of them are actually depressed and hence they use comedy as a therapy, and perhaps that is the reason why they are so good at it.
Whatever that is used as a therapy to overcome issues such as depression kind of develops as a great quality in humans. So yes, it might be true to a great extent but it is not a definite rule.