Red Skelton, a clown himself was big on the sad clown icon. Lots of paintings, etc.
As to Puddles (Mike Geier) I haven't read anywhere that he explains it. I assume that as good as he is, he needed something to set him apart. In his own mind as well as the audiences. I've seen him sing as Big Mike and his band, and he's just not as dominating as he is in the clown suit.
I mean, a 6'8'' giant in a sad clown suit, come on.
I think its a perfect schtick.