Yes, I can agree, Mixa, I know this feelings myself.
But I think it isn't only the joke, or actually every time a joke involved. Even if there is no joke it is rather consoling to see a character you liked, who you have learned to love (Cuddy for example, again), who just have passed away nevertheless still has somewhere to go on, albeit perhaps not in this world.
(Spoiler ahead referring to Reaper Man and The Truth.)
So in Reaper Man I wasn't exactly "sad" about Ms Flickworth' death - I was smiling as she get reunited with her groom.
And even in The Truth I did the same about the second life a now-wood-worm got (and also had to laugh about the joke).
Therefore while reading Pratchett I normally don't get a feeling to cry, although concerning Cuddy, yes, it has been very close.