There are several things you could do, but since I don't know the whole of it, there's only so much I can suggest at this point.
(i) You could turn the issue into a class discussion on cultural differences; e.g., how in some cultures certain topics are not discussed in public, let alone joked about by a person in a position of authority.
(ii) You could send your instructor an anonymous note or email explaining how uncomfortable his jokes makes you feel in class. Be professional; stick to the issue--don't get personal, give specific examples so as to make clear what it is exactly that you have a problem with, and above all, be kind.
(iii) You could ignore the jokes and focus on the bigger picture, your studies. Pick your battles.
All the best.