You seem to be an English-speaker, so you're likely to be hearing jokes from people who, by and large, have a fair bit of cultural context on Christianity, but almost none on Judaism or Islam. So, naturally, the religious jokes you hear, particularly on the media, where jokes have to be comprehensible to a broad audience, are more likely to be about Christianity than about Judaism or Islam, because the average viewer/reader doesn't actually know anything about Judaism or Islam, but a fair bit of context on Christianity is part of majority English-speaking culture.

An example - in the Seinfeld episode 'The Bris', there's a bit of exposition where Kramer finds out what a bris is (and is disturbed by it). The reason for that exposition, presumably, is to explain it to the _audience_; the jokes wouldn't work if the audience don't know what it is. This just isn't work you have to do for the basics of Christianity, so making jokes about it for a wide audience is easier.