There is a chapter devoted to her in his book Role Models, but I also found a story from a 1998 Papermag where he said:
I am scared of her because I respect her so much. She never smiles. She always looks like she's sitting in a cell thinking about hemlines for two years like a catholic saint who gave up everything to think about how to deconstruct clothes. You don't see her sense of humor when you meet her she always wears leather and black and seems to be surrounded by bald-headed women. I think, of course, she has a great sense of humor. No one could design clothes that witty who didn't. I think you can be very serious about your work and have a sense of humor, too. I am very serious about my work and I try to make good trash.
Some of my favorite things in the world are dark and hilarious at the same time. Keith Moon's drumming. The faces that Bill Murray makes. Almost any Robyn Hitchcock song.