If I wanted to learn to play piano, I would need to put in a lot of work. Find a used keyboard online or at a secondhand store, watch some YouTube tutorials, and put in lots of time practicing and teaching myself in between work, chores, and other responsibilities.
A billionaire could buy a mansion with a grand piano, have their people take care of moving in furniture and tuning, get someone to hire the world's best teacher, pay them enough that they drop all their other students and move into the mansion, and spend 12 hours a day learning to play piano while doing no other work & being waited on hand and foot. With the enormous hoard of resources at their disposal, they could teach a chimp to play Mozart.
So when Elon Musk fails to be funny, I have to imagine it's pride. He could learn stand up, improv, whatever he wanted. He has the time and resources if it's really that important to him.
But that would mean admitting he is the least important thing in his own life. Anyone else with his resources could do the exact same thing. No talent, no dedication, nothing required from him has a person. He's not a super genius; he's an awkward, immature geek who got incredibly lucky. His position has everything to do with his wealthy parents and him happening to get lucky with PayPal. If he had to do it all over again, he would fail.
He is desperate for something that makes him special that isn't his checkbook, and I think the idea that there isn't anything like that scares him. For the rest of his life, he will be the smallest and least important part of anything he accomplishes.