Personally, given that I speak a couple of languages, using Latin there just feels forced: suggesting "I came, I saw, I came" as a name for a stripclub or whorehouse is itself the actual funny part and putting it like that instead of in Latin makes it click much faster and for more people (as they don't actually need to know that Veni in Latin is "came").

The language in there only really serves the purpose of showing that the person making it is well educated and know that phrase in its original Latin, which whilst totally valid doesn't make it any more funny, maybe even takes away a bit of it's impact as a joke.

In my own experience the best multiple language jokes play on double entendres in the more unusual language or both languages, or in how people use expressions in their own language without thinking about individual words, but those expressions in literal form are sometimes hilarious (think about "I need to pick your brains" ... and now add a Zombie Apocalypse context) - for example you can wordplay with the hilarious the Dutch expression for "wasting time in details" which is "mieren neuken" (literally "fucking ants") by totally out of the blue talking about "insect shagging" in English to a Dutch audience in the context of time being wasted (also if it's a meeting with people who don't know Dutch, their face when the rest goes "oh shit!" and they totally don't get wtf is going on makes it extra funny).

That said, those tend to be pretty exclusive jokes in that only a few people get it because they need to know both languages, which is especially hard when neither of the languages is English.