A fictional stereotypical comedy club name. The point is to make fun of the over-the-top names a lot of comedy clubs have. Real ones: Rooster T. Feathers, Laugh Factory, Acme Comedy Club, Wisecrackers, Zanies, Helium, Hyena's, FunnyBone, Hilarities, Go Bananas, etc. Presumably during the 1980s comedy boom, a lot more comedy clubs popped up, and the multitude meant they were more likely to have ridiculous names.
Kevin Pollak uses the term a lot during his video podcast interviews on the Kevin Pollak Chat Show. He attributes it to another comedian, whose name escapes me.