There are a few, and yes, Dennis Miller's schtick since about 2002 has been 'conservative comedy'.  Laced with some of his typical "rants" against Washington, as well as against global warming scientists, illegal aliens, the UN, gun control advocates, etc., he does largely what he used to do with news items 20 years ago--whimsical punchlines and obscure pop culture references as metaphors for current events and politicians.  I find him unfunny also, and am rather shocked about some of the aspects of his "conversion" to Conservatism.  I can understand laughing at the ridiculous exploits of the Left or the Leftwing Media (Jon Stewart does this all the time), but the fact that Miller is now a Conservative on religious issues and gives George Bush a "pass" on the war (his words)--that is stunning for a person who spent 20 years railing against a corrupt establishment.

Nick DiPaolo is a B-list Comedy Central comedian who now has a radio show with Colin Quinn, and both are quite Conservative.  The Blue Collar comedians (Larry the Cable Guy, Foxworthy, White, Engvall) are not all Conservatives by nature, but they play up to their audiences who very much are.  Drew Carey is very staunchly Conservative (though his act doesn't reflect it).  So there are some.  Typcially, though, three things are at play.  1)  Comedy is biased--it is based on shared experience and mindset with an audience, which means that if you are a Liberal being ridiculed and skewered and applauded against, you are probably not going to find the comedy very funny --> very good, 2) The entertainment directors of the networks, Comedy Central, HBO and Showtime, etc. are likely to be Liberal, and thus (as per #1) not finding this subject matter funny, they are much more likely to book/give shows to liberal comedians who they do identify with, and 3) comedians generally tend to grow up or rise to stardom in urban areas, tend to be around other artists a lot, tend to have non-nuclear families, many are Jewish or African-American...these are the things lots of comedians build their act around, and these elements which drive comedy tend to be more intrinsic to Liberal upbringings than to Conservative upbringings.