I think rhapdog is right, it's probably a regional issue. Something going on with the Bing back end that isn't allowing to work. I just asked Cortana to tell me a joke, and she did. I am in the US as well.
I'm from Malaysia to... My problem same as you... I set my region to us... Cortana not answering me now... What she did just bring me to web search... My English not good as WoWnyx... So sorry for my bad grammer