The funny bone is the humerus. The funny feeling is caused by the ulnar nerve when it is compressed. If the question was 'which is the funny bone in the body?' then the ans would be humerus. If the question was what structure causes the funny feeling then its the ulnar nerve.
I am not sure what the question was as I have not seen the episode but on going by the update writer the question was 'what is the funny bone in the body?'