s/he has a dry sense of humour

We say that too, bel, and often as a compliment!
"Deadpan" is another word for it, but that doesn't quite capture the full spectrum (which is surprisingly broad).

I don't think most Brits (sorry, English people) would take offense at being called reserved, though I'm certain that we're a lot less reserved than we used to be.

But for some fine examples of English reserve, check out the Jane Austen (usually Merchant Ivory film) type of scenario - huge amounts of importance/passion hanging on a potential suitor using one word rather than another with almost identical meaning.

I think it's all about increasing the value by prolonging the build-up. And the innuendo may be entirely appropriate!