Embarrassment by proxy. The awkward feeling is most pronounced when the person making a fool of themselves is so earnest in what they're doing that they don't see it as being embarrassing.
For real world examples, Borat's humor is wahjah. John Ashcroft singing "Let the Eagle Soar" was extremely wahjah.
The term was coined on internet message boards in 2007.
Was that who I thought it was on that infomercial for hair growth formula? How wahjah is that? To think he was making millions per movie just a few years ago.