Why don't kleptomaniacs ever get puns?

The take everything, literally.

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What did they start calling Kim Jong Un after he shed 60 kgs in weight?

Kim Jong Un what you thought it was Slim Jong Un? Sorry but you are not allowed to make puns on your supreme leader's name in North Korea

What do you call a funny baked good?

a pun

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What do you call someone who takes things literally?

A kleptomaniac!

Why can't puns be explained to kleptomaniacs?

Because they always take things literally