When they do these happiness measures I don't think its just a survey that asks you to self describe your happiness. Its stuff like how much crime per capita a country has, how much autonomy people have at work, how much disposable income you'd be left with if you take average rent away from average salary.
I think that's been overstated. Don't really know why. Just a shorthand for comedians or something perhaps - a bit like how our town often ends up being an easy punchline to a joke
en.m.wikipedia.org
This list has them on fewer suicides per capita than the USA or Belgium.