the joke predates watchmen. only reason i know this is that if appears in benjamin’s arcades project (which im currently reading) in the chapter on boredom

Boredom began to be experienced in epidemic proportions during the 1840s. Lamartine is said to be the first to have given expression to this malady. It plays a role in a little story about the famous mime Deburau. A distinguished Paris neurologist was consulted one day by a patient whom he had not seen before. The patient complained of the typical illness of the times – weariness with life, deep depression, boredom. ‘There’s nothing wrong with you,’ said the doctor after a thorough examination. ‘Just try to relax – find something to entertain you. Go to see Deburau some evening, and life will look different to you.’ ‘Ah, dear sir,’ answered the patient, ‘I am Deburau.’"