Lamentable comedy is an example of what literary term?

There are several literary terms that could be used to describe "lamentable comedy."
First is oxymoron. Oxymoron occurs when two words that mean the opposite are put next to each other, forming a logical contradiction: lamentable means sad or regrettable and comedy means funny or laughable. We can understand how the two words contradict each other: how can a comedy be sad? At the same time, the players inadvertently tell the truth about the play with those words: in their hands, it is a regrettable and comic performance of a tragedy. Because of the nature of how the play is performed, the words therefore become, unintentionally, a double entendre, which indicates they have a double meaning. Shakespeare never met a double entendre he didn't love.
In addition, it is possible the players are using a malapropism when then say lamentable comedy. A malapropism occurs when a wrong word is used that sounds similar to the right one. "Comedy" and "Tragedy" have the same ending, and it is possible the actors meant to use the term comedy, but being lower class people, got confused.
In either case, the effect is comic, mirroring the humorous bumbling of the acting troupe's performance—and the contradictory characteristics of love itself.

This phrase is an example of oxymoron, because the two words "lamentable" and "comedy" are opposites and seem to contradict each other. The situation it describes, The Lamentable Comedy and Most Cruel Death of Pyramus and Thisbe, is ironic because what is intended to be a tragic play is performed so badly by the actors that it becomes uninintentionally hilarious to the audience.
This phrase can be found in A Midsummer Night's Dream to describe a play within a play, put on by Bottom and his acting troupe. The story of Pyramus and Thisbe centers around two lovers whose feuding parents have separated them and who ultimately die in horrible ways; the plot should be entirely tragic, and therefore it is completely inappropriate that it is performed to comedic effect. Because of the ineptitude of the craftsmen who perform, the play becomes hilarious rather than tragic.