Frank Rich asks the question, "Can Conservatives be funny?" I'm not sure he answers it.
I suspect the reason there aren't any great right-wing comedians does have to do with the comedy-killing premise of siding with the wealthy against the poor. I think it also has to do with the talent pool just not breeding that kind of person just as it doesn't seem to breed successful left-wing talk radio hosts. What I don't think is the reason is that Conservative comedians don't have the same opportunities. If anything, the marketplace would love a right-wing Jon Stewart but that person just plain hasn't come along. Yet.