I have had friends who do that. That is their way of having fun, which isn't how I like to have fun. With a lot of people who prefer that style of humour, I had to cut them out because I figured they aren't worth the energy it drained me of.
I would suggest you tell her assertively that you do not appreciate those jokes. Tell her that even if you have victim mentality, as a friend, you'd expect some respect to your emotions. If she continues to do the same thing, you have a decision to make.
One of my ex-best friends did the same thing. She would tell me that I am a "wuss" for not being able to take those jokes. I had little assertiveness back then. I had to become more assertive and start yelling at her to shutup, for her to get it. That was the only thing that worked. Regardless to say, we don't even talk anymore and I am glad for that.
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