The "humor", or "funny" bone is the humerus. I guess they call it the funny bone because it's close to sounding like, and being spelled like, humorous. The humerus is the upper arm bone, the one that has the biceps, triceps and deltoids.
The saying is referring to the shoulder or elbow not the humerus.
Show me the humor bone in a persons body
That would be the humerus