The Skeleton Twins is a comedy. Sure, it's about a pair of estranged twins who try to kill themselves on the same day, but it is, we repeat, a comedy.
After his suicide attempt, Milo (Hader) moves in with his twin, Maggie (Wiig) and her husband Lance (Wilson). Milo and Maggie have a similar sense of humor which draws the pair closer together. Though they can't always stand each other, each thinks there may be a mutual understanding. Both broken, and beneath the gags and jokes, it's obvious they both hope the other sibling will come to the rescue.
They did, however, spend over a decade estranged for a reason. One of the downsides of a close relationship is the ability to hurt each other as no one else can. Remember, a brutally honest comedy is still a comedy.