Ｈｅｌｌｏ　Ｒｏｋｒ， 冷笑话 is more of a 'sarcastic' joke. It pokes fun at shortcomings by stating the opposite of what is meant for example.

I think maybe the phrase you want is "sarcastic joke" or "grim joke" "cold joke" would be interpreted as a joke about the cold. "bad joke" would be a joke that is not funny, that nobody laughs at. You might also use "biting joke", it is somewhat bitter and sarcastic. Jokes about sensitive subjects, such as death, is termed "gallows (刑场) humor" or "graveyard humor".