Hello there! I'm sorry for the late reply. You can find gags in "art/nis/gags/".
If you want to change which gags load in your level, go in that level's script directory (i.e scripts/missions/level01/ for level 1) and open "level.mfk" in a text editor. If you scroll down enough, you'll find the code blocks that form the gags, example below:
GagBegin("gag_s5.p3d");
GagSetInterior("SimpsonsHouse");
GagSetCycle("cycle");
GagSetPosition(500.196 ,-20 ,-400.579 );
GagSetRandom(1);
GagSetSound("gag_s5");
GagSetTrigger("touch", 496.942 , -19.341 , -394 , 6.0 );
GagEnd();
You can modify these. GagBegin() is the function that spawns a gag based on it's name, so it should always be valid.