There have been plenty of witty gays from Oscar Wilde on down, but perhaps modern American stand-up comedy requires a different personality type: more aggressive and depressive, less gay in the old sense of the word.
Maybe if you are a funny gay guy like, say, that star of stage and screen ... oh, wait I don't think he's out of the closet (but it's pretty obvious), so let's change my example to someone who is ... Harvey Fierstein, you are more inclined to go into theater than into stand-up, so you can receive affectionate applause as well as laughs.
Stand-up is a tough life, unless you're a tireless superman like Jay Leno or Bob Hope. You spend years working to get on the Tonight Show, then your reward is that you get to travel alone around the country until people decide you aren't funny anymore. (Or, if you are really lucky, you get to make a sitcom, which is a very nice life, but how often does that lightning strike these days?)
I remember seeing about 1986 at the airport the then-hot comedian Emo. ("My sister just found out that the pastor who married her and her husband was an impostor, so her marriage isn't valid. Yes, it's so sad. Now she'll have to lose all that weight.") He was sitting all alone changing planes for the 100th time in Chicago. He looked as depressed as he made me feel.