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I really don't understand this idiom, hell is supposed to be a horrible place. I understand the saying which is present in dictionaries “hot as hell”, but I could not find “funny as hell” in any online reference.

Can anyone explain this to me?

When we say something is "funny as hell" or "hot as hell" or "depressing as hell" we are using the word hell as an intensifier. That just means it increases the degree to which we wish to express our feeling about the particular adjective involved.

In other words, "funny as hell" just means the thing is very funny.

Collins gives this definition specifically:

8. 
   as hell (intensifier): tired as hell.

The idiom uses the expression as hell in the sense of

(slang) To the maximum degree.

• When I read that passive-aggressive note from my neighbor, I was mad as hell. Oh man, I haven't slept in days—I'm tired as hell.

(The Free Dictionary)

As hell:

used for general emphasis:

• I’m serious as hell. I’m leaving him.
  (as) sure as hell: I know what you want, as sure as hell.

(Macmillan Dictionary)

• So, funny as hell means very, very funny.

Note that, as suggested by An Asperger Dictionary of Everyday Expressions. Second Edition, by Ian Stuart-Hamilton:

Funny as hell, very funny:

• The phrase is hoverer often used sarcastically (i.e. meaning not funny). The only indication of which meaning is intended are context and (if spoken) the intonation of the voice,

J.E. Lighter, Random House Historical Dictionary of American Slang, volume 2 (1997) has a very useful entry tracing the evolving (and expanding) use of "as hell" as an intensifier:

hell n. (used with as, like, and than for emphatic comparison). Bracketed quots. show its orig. in allusive S[tandard] E[nglish] similes 1511 in Tilley Prov. in Eng. 306: It is ...derke as hell. 1563 in Tilley Prov. in Eng.: As blacke as hell. 1619 in Tilley Prov. in Eng.: As false as hell. 1640 in OED: He sets out sin (most lively) black as hell. 1676 in D'Urfey Two Comedies 61: And yet she is false as Hell! 1780 W. Cowper, in OED: Delusions strong as Hell shall bind him fast. 1768–70 in Mead Shanties 619: Got Drunk as all Hell. 1773 H. Kelly School for Wives 112: 'Tis false as hell! 1775 in Whiting Early Amer. Provs. 209: Hungry as hell. 1813 in W. Wheeler Letters 117: He was retiring when one of our men observed to him "That it was Chelsea as dead as H—l." 1813–18 Weems Drunkard's Looking Glass 61: He continues to bawl out that you are a "d—d clever fellow," and swears by his Maker, that he "loves you like H—l." 1829 Marryat Frank Mildmay 234: Stinks like h—! 1837 Strong Diary I 77: Us Democrats licked the Whigs like hell. 1840 Spirit of the Times (Mar. 7) 8: Here's at you for a quarter."..."Good as Hell." ...

As Lighter's examples illustrate, the similes start with predictable descriptive terms ("dark as hell," "black as hell"), then branch out into predictable figurative uses ("false as hell," "strong as hell"), and finally begin to appear in counterintuitive settings (hungry as hell," "dead as hell," "good as hell")—all this by 1840.

Once the "as hell" intensifying comparative becomes a default option, it becomes available for use in such odd settings as "hard as hell," "sure as hell," "rich as hell," and "happy as hell."

An Elephind search finds some rather odd usages in U.S. newspapers from a fairly early date. From "Enquire at Amos Giles Distillery" in the [Madison, Indiana] Standard (March 27, 1835):

Some lifted the hogsheads as easily its you would raise a tea-cup, and turned their contents into the proper receptacles; some scummed the boiling liquids; some with huge ladles dipped the smoking fluid from the different vats, and raising it high in the air, seemed to take great delight in watching the fiery stream; as they spouted it back again: some drafted the distilled liquor into empty casks and hogsheads; some stirred the fires; all were boisterous and horridly profane, and seemed to engage in their work with such familiar and malignant satisfaction, that I concluded the business of distilling was as natural as hell, and must have originated there.

From "Courtship," in the Rutland [Vermont] Herald (November 22, 1836):

Do not marry a miser. ... They would see entombed the entire race, from want, and land and ocean hung with the drapery of mourning; and yet with hearts obdurate as hell, shut their eyes to the solemn spectacle, and turn away to pay their devotions to Mammon.

From "The Dead Boxer," in the [Pittsburgh, Pennsylvania] Daily Morning Post (December 29, 1842):

Ha! damnation! true as hell! he exclaimed, she's with him! Ha!—the Obeah woman was right—the Obeah woman was right. Guilt, guilt, guilt! Ha!

And from "Hell and the Devil," in the [Brookville] Indiana American (June 2, 1848):

Twelve months ago, I was unfortunate in my company on a stage rout. Finding it had to be endured, I put myself to noticing the applicableness of these Hell and Devil comparisons. Said one as he grunted at a sore bump—"These roads are devilish bad." Pretty good thinks I to myself; the devil carries you and all hi over a rough road; for it is written, "The way of transgressors is hard." Said another "Why don't they drive along! I want to get to M——, for I am thirsty as hell." Poor Dives came into my mind. A pet spaniel hurt another who was playing with his sharp teeth—"Go to the devil," said he with a cuff. That is correct, thinks I to myself—for "Without (that is, where the devil is, I suppose) are dogs and sorcerers, &c.," and doubtless such persons as the profane speaker.

The pious author of this last article may amuse himself by drawing instances out of the Bible that justify the literal sense of expressions that the profane speakers on the stage route use, but it seems highly unlikely that the coarse swearer who uses the simile "thirsty as hell" has the example of Dives in mind. He is simply using "as hell" to emphasize how thirsty he is.