Sure, but it would probably be funny only to religious Jews.

God comes down from heaven and says to Moses: "Thou shall not cook a lamb in its mother's milk". Moses asks in reply "So, I shouldn't eat meat with dairy?". Said God: "No, Moses. Just don't cook a lamb in its mother's milk". Moses asked for clarification "So, I shouldn't put cheese on chicken, no more Cordon Bleu?". And God clarified: "No, Moses. Just don't cook a lamb in its mother's milk". And Moses asked "So, I should keep separate dishes for meat, and separate dishes for dairy? And wait a few hours between meals?". And God clarified thus: "Do whatever you want Moses."

The sephardic and ashkenazic ethnicities are closely associated with the Jewish faith. But I haven't heard any sephardic or ashkenazic jokes.

David Baddiel is a funny guy and his book (which isn’t humor) Jews Don’t Count frames Jewishness as an ethnicity.