Sources tell TMZ he had been battling pneumonia for six weeks and died of a heart attack.
He finished second. He later was talk-show regular and had several stand-up specials, most recently 2015's Unruly on Netflix.
American comedian Ralphie May has died aged 45.More news: Bayern Munich: Heynckes named as coach until end of season
May, who has enjoyed a successful career as a stand-up comedian, was in the midst of a nationwide tour with performances scheduled at Harrah's in Las Vegas this weekend.
'Earlier this morning at a private residence in Las Vegas his body was discovered, cause of death is cardiac arrest'. He starred in his first Comedy Central special, "Girth of a Nation", in 2006, before releasing "Prime Cut" (2007), "Austin-tatious" (2008) and "Too Big to Ignore" (2012) in subsequent years. The couple had two children, April June and August.
He also appeared on "Celebrity Fit Club" and the "Dog Whisperer".