they laugh along with whatever is in the script.   If what you saw had been an isolated incident on the stage it probably wouldn't have made them laugh at ALL, but the fact that it was engulfed within whatever he was spinning in his yarn, and they were already primed to laugh at anything, they laughed!

Don't think I have seen that particular comedian.

Anyway, I'm off here to go and read for a little while  ... something quiet and amusing and uncontroversial!