I was just listening to a tape of "A Prairie Home Companion" from a year or two back, and Garrison Keillor mentioned Jack in his "News from Lake Wobegon" segment.
In case you don't know, the segment is a completely fictional story about his fictional hometown, so the incident didn't really happen. But Garrison claimed he got his radio job because he caddied a golf game with Jack Benny, Gary Cooper, Frankie Laine and Ernest Hemmingway in 1956. Jack was only mentioned as one of the foursome, but he did get a laugh on:
"...I told lies about that game. I said Gary Cooper hit a long ball on the 18th hole, and Papa Hemmingway pulled out a shotgun and shot it out of the air. That didn't really happen. It was Jack Benny that did that."
Not exactly a "Jack Benny" joke, is it?