Pamela Stephenson said her husband was rushed to hospital in a taxi after developing the potential deadly clot in his thigh - but he still found time to crack jokes about her driving on the way.
She told the Daily Mail: "I knew it was a clot but the doctors weren't listening to me.
"Eventually I spoke to an intern on the phone, who said, 'Just get him to the hospital right away!'"
Ms Stephenson, 64, said the comedian was "in agony and crying with pain" as they travelled to the hospital.
The former Not The 9 O'Clock News star added: "The road was in a very bad condition, so the taxi was bumping over it, and Billy was saying, 'Uh-oh, he drives just like you, Pamsy!'
"I said, 'Billy, I'm saving your life here, stop going on about my driving!' Even though he was going through so much pain, he never stopped being his hilarious, curmudgeonly, adorable self."
After his blood clot was treated, the Scottish star was discharged from hospital but the problem emerged again when he was filming a documentary for ITV about dealing with death, which was broadcast in May.
The couple's daughter Amy, a researcher on the show, spotted the problem and he was taken back to hospital to deal with the clot, Ms Stephenson said.
Connolly, 71, has described his "funny week" last September when he was diagnosed with prostate cancer and Parkinson's disease on the same day, having been prescribed a hearing aid and treatment for heart burn days earlier.