No comedian wants to bomb in front of a big crowd. But Joe Wong, a chemist turned comic, is having a tough time with an audience of 1.3 billion.

When the 40-year-old Mr. Wong played the "Late Show With David Letterman" last year, people cracked up when he walked out and said, "Hi, everybody….So, I'm Irish." That appearance launched him on a tour of clubs around the U.S.

Yet...