The actress said she was enraged by the male comedy troupe as a young woman but was left surprised by Palin's reasoning when she met him later in life.
She said: “Python used to [annoy] me off when I was young.
“When I grew up and met Michael Palin and I said 'Why did you never have any women in the show?' and he was so adorable and said 'I think we were rather frightened of them' so it was easier for Terry Jones to do it. They were just frightened of girls.“
The pair later appeared together in Tracey Ullman: A Class Act and Ullman said she believes things have improved for women in comedy since she started out.
I think we just need lots and lots of different people doing comedy
She added: “I remember years ago saying 'Come on, I'm not going to be the Benny Hill type girl', that was the low for me, the Benny Hill girls. That was all we had in the early 80s, and it was 'oh God is that what it is to be a woman in comedy?'
“I think we just need lots and lots of different people doing comedy and ethnic comedy and different faces and not just Oxbridge all the time.
“The whole woman in comedy thing, I never thought about it when I started out. I'm not a stand-up comedian, I'm an actress, I'm a character actress and it's what I've always been.
Tracey Ullman told Michael Palin there should have been more women in Monty Python
The actress said she was enraged by the male comedy troupe as a young woman
“I've never done stand-up. I just know that funny is funny.”
Ullman is soon returning to the BBC for a second series of her sketch programme Tracey Ullman's Show, her first comedy show for British television in 30 years, which sees her impersonating famous faces, including Dame Judi Dench, Nicola Sturgeon, Angela Merkel and the Duchess of Cornwall.
Having worked extensively in America, Ullman said she had been nervous to make something specifically British but said: “You just have to do your best work and what you want to do and see how it goes, to get the chance was great and you kind of get fearless as you get older.
“You think what are they going to do? If they don't like it they don't like it but it was nerve-wracking.“
Graham Chapman And Terry Jones In 'Life Of Brian'
Monty Python's funniest quotes
Wed, October 14, 2015
Monty Python's 12 funniest quotes
1 of 12
Brian's mother: 'Now, you listen here! He's not the Messiah. He's a very naughty boy!'
(L-R) Terry Gilliam, Michael Palin, John Cleese, Eric Idle, John Oliver, and Terry Jones
Audiences will not see her take on Theresa May, although the comic already has the PM in her sights.
She said: “No Theresa yet but I would love to do her. She's such a vicar's daughter from Maidenhead, I grew up near there so I know exactly what that is, my sister is the same age as her.
“She would be interesting. The way she speaks, sometimes her mouth looks like it's filled with blood. Is that a weird thing to say?”
Tracey Ullman's Show will air on BBC One on February 3 at 9.30pm.