Nope. When I was in therapy, I was always serious.
Therapy is simply not the place for me to joke or have fun. I remember my ex therapist teased me a couple of times and I just stared at her blankly/confused.
I like being teased/teasing with my girlfriend or my friends (ie people I actually know and love), it would simply be odd with a therapist since I don’t consider it to be a real relationship.