It seems unlikely. While Eisenhower noted that Zhukov liked to joke, there are no other references to Zhukov being particularly witty. Among western military men, diplomats and journalists, Zhukov was generally perceived as friendly and more honest than most of the Soviet hierarchy. However, many of those who served under him in the Red Army painted a far less appealing portrait; he could be harsh and demanding, and was considered by some to have quite an ego.
There is little (if any evidence) to support the depiction of Zhukov's wit in The Death of Stalin but the journalist John Gunther, in Inside Russia today (1958), wrote that
He had the friendliest, heartiest smile of any of the [Soviet] leaders
we met, and otherwise looked as blunt as a bollard in the Venice
Montgomery's staff officer Major-General Sir Francis Wilfred de Guingand also found Zhukov friendly (and Monty himself refers to 'friendly relations') and (then General) Eisenhower also noted Zhukov's smile. According to Eisenhower, Zhukov used to joke during their "wartime association" but that when they met later (during Eisenhower's presidency), the Soviet general was a changed man:
In our wartime association he had been an independent, self-confident
man who, while obviously embracing communist doctrine, was always
ready to meet cheerfully with me on any operational problem and to
cooperate in finding a reasonable solution.… Now in Geneva, years
later, he was a subdued and worried man.… He spoke as if he was
repeating a lesson which had been drilled into him until he was letter
perfect. He was devoid of animation, and he never smiled or joked,
as he used to do. My old friend was carrying out the orders of his
superiors. I obtained nothing from this private chat other than a
feeling of sadness.
Cited in: G. Roberts, 'Stalin's General: The Life of Georgy Zhukov' (2012)
Perhaps one example of a Zhukov joke which Eisenhower was referring to above is this, in June 1945:
The western representatives wanted the ACC [Allied Control Council] to
start functioning immediately but Zhukov insisted British and American
troops first withdraw from the Soviet zone of occupation....Zhukov’s
delaying tactic did not please General Eisenhower, the American
representative on the ACC, who was keen to get on with business.
When the American went to leave the banquet arranged by the Soviets for their guests, Zhukov exclaimed jovially, “I shall arrest you and
make you stay!” But Eisenhower stayed only for the first toasts.
Apart from this incident Zhukov and Eisenhower got on well and formed
a good working relationship.
Time magazine Moscow bureau chief Richard Lauterbach gives some details Zhukov's personality in These Are the Russians (1945). Despite these details, he makes no mention of Zhukov's wit. Instead, he wrote that the general was a talented accordion and piano player and that
Zhukov likes to attend military and diplomatic parties where he is
known as an intelligent, somewhat didactic conversationalist.
Lauterbach also writes that when Zhukov
...gives orders or discusses strategy he speaks directly, sharply and
precisely in a calm, low voice. His full strong face is so dominated
by his willfulness that few men readily object to his proposals. In
upholding his views he can be extremely stubborn, but on occasions
when he is outvoted by other members of the Supreme Command he
executes their plans as precisely and solicitously as he would his own