The comedian, a finalist on the inaugural 2003 season of NBC's "Last Comic Standing" reality competition, was 45.
"We are heartbroken to announce the untimely death of our friend, Ralphie May," his publicist said in a statement to Deadline.com.
"Ralphie had been battling pneumonia and had canceled a handful of dates over the last month in an effort to recover. Earlier this morning, at a private residence in Las Vegas, his body was discovered; cause of death is cardiac arrest."
TMZ said May performed Thursday night at Harrah's, despite being ill for about six weeks.
"As his manager and his friend, I will miss his laugh, his generosity to fellow comedians, his trademark orneriness, and his enormous love of life," Judi Marmel told TMZ.
"He left us entirely too soon -- and we can only wonder where his comedy might have taken all of us. We send our love to his family, his fans, and all the comics who shared stages with him across the country."
In addition to touring with his standup act, May has headlined television specials on Netflix and Comedy Central.
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