"Life is a tragedy when see in close-up, but a comedy in long-shot." - Famous Silent Era Hack
The consensus on comedy is that comedy comes from pain. No comedian can escape an "in-depth" interview" without some probing into whatever tragedy allegedly energized his funny bone.
Many comedians are screw-ups and emotional cripples, but this is more correlation than causation. If tragedy spawns comedy, why didn’t Vietnam produce a generation of vet vaudeville? Did Japanese comedy experience a renaissance in the wake of Hiroshima? Most people become twitchy, uncommunicative disasters after tragedy. The trauma leads to PTSD, not SNL.
The sad clown image is merely another case of artists mythologizing their lives. Comedians are self-absorbed, perhaps second only to actors in that department, so it isn't surprising they promote and believe this narrative. Unfortunately, the broad acceptance of it has caused a proliferation of godawful therapy comics. Believing your sad sack essence inspires creativity is more comforting than admitting you're a perennial wet blanket. Needing catharsis doesn’t mean you have the ability to make whatever pain you have entertaining (just ask a shrink).
Blues music is also linked to sadness, and yes, some blues singers had horrible lives, but if Howlin' Wolf didn't have natural ability, no amount of Delta angst would have done the trick. Ironically, blues singers are probably asked less about the tragedy underlying their art than comics, and when a person without talent tries the blues, everyone trashes him. No one would ever claim that just because someone has pain he doesn't need musical talent to play the blue. It is symptomatic of how little appreciated comedy talent is that people actually think: "Oh, you had a rough year?. You should turn it into a one-man show!" If everyone who grew up in a dysfunctional, booze soaked home could suddenly sing the blues there would be no space for any other music - though karaoke nights would be a lot more entertaining (and less tragic).
Pain doesn't come with charisma or writing ability. No outside intervention or grief can turn a dud into a laugh riot. Being an architect is as much art as it is engineering, but because architects don’t normally behave like brain damaged children there is no prevailing myth about the crying architect.