There are many. The Holocaust is definitely off-limits. That's just one example.
1: https://www.washingtonpost.com/video/national/the-thing-abou...
For example, I just searched Google for "comedian pedophilia joke" and the first result is about Louis C.K. doing one during an SNL monologue.
Nothing is off limits in comedy. Plenty of stuff is in bad taste, but as long as the comedian is actually trying to be funny I think most or at least many other comedians will back them up.
https://www.youtube.com/watch?v=rGfDXMnQw7g
https://www.youtube.com/watch?v=ewY3xgqlKPY
https://www.youtube.com/watch?v=ieDNGCIZogA