OK, first off, I hate modern American conservatives.
Having said that, its annoying that conservatives get loads of shit for making pretty much the exact same jokes that liberals do.
Pretty sure lots of comedians have done holocaust Jew material but I guess its OK cuz some of them are Jews.
Larry David on his latest saturday night live appearance pops to mind. Pretty sure Sarah Silverman did it too.
Comedy is largely about playing with audiences' expectations of what they're about to hear as well as their expectations of the comedian.
For example, a Jew making a Holocaust joke is certainly playing against the expectation that a Jewish person would consider the Holocaust to be absolutely unsuitable as a comedic topic, let alone making the victims to be the butt of the joke. Such a person is unlikely to truly believe in the punch-line of the joke, it's just an amusing alternate perspective. In a way it's likely to be self-depreciating rather than punching down.
The problem is if you've got say a Nazi making a Holocaust joke, chances are they're just telling you what they already believe. Conservatives have a rep for seriously buying into problematic beliefs, so if they make jokes about them, there's definitely room for interpretation (do they really buy into what they're making a joke about, are they also punching down, neither of which are remotely funny things). As opposed to when say Dave Chapelle makes a joke about a black guy getting stopped by the police for smoking weed; there's no question over whether Dave Chapelle believes that say all black people are into drugs.
If Donald Trump makes a joke about Jewish people, is he just trying to be funny without being nasty about it or does he really believe in the basis of what he's making a joke about? It completely alters the perspective of the joke from respecting a minority yet considering them fair game for humour to mocking those you think deserve it and a means of elevating your status by regarding others as inferior.
Generally speaking, I'm of the opinion that anything should be an acceptable target for comedy, but a sensible person makes sure that their intended audience know from which perspective to interpret the humour.
A really basic example would be Steve Martin's trousers dropping as part of the script in a comedy sketch versus some old guy in a supermarket whose just had the misfortune of their trousers dropping. Only a "not nice person"* will start laughing out loud at the latter and then when being told to hush will start complaining and calling for equality because it was funny when it happened to Steve Martin.
* - The forum threw an error when I wanted to use a word that sufficiently describes how I'd feel about that kind of person!