I feel you Chris, that film is the bee's kness. When asked which scenes in particular tickle him he responded by saying “[Laughs] I’m not going to go any further!” Because, well, most of the laughs in "MacGruber" come from political incorrectness. They leave you with an uneasy feeling of "Why am I laughing uncontrollably at this?"
Nolan saying he's been "outed" as a MacGruber fan probably stems from Anne Hathaway mentioning his penchant for quoting lines on the set of The Dark Knight Rises" [TV appearance.] "Star Wars: The Last Jedi" director Rian Johnson is also a fan, having mentioned in his "Looper" commentary track that he stole a gag from "the rather wonderful and under-rated Saturday Night Live spin-off MacGruber."