I constantly suffer from depression and have been suicidal and I actually don't mind comedy/jokes about suicide unless its directed at me or someone else like in a mean mocking way...but for me I guess its a consistant thing so if I don't laugh about it well just doesn't work for me.

Sometimes people also say it to be dramatic but aren't actually serious like if someone says they would rather die than eat some gross food they don't like, chances are if they had the choice between death and eating it they would eat it.

As for your family could be ignorant and think they are being funny, especially since you say they aren't actively 'mean' I'd suggest maybe just explaining you don't find it funny and it bothers you....do they typically respect you're feelings and such or no?