The Ku Klux Klan or commonly known as the KKK, or simply Klan, is the white supremacist, far-right extremist group in the US that advocate for harsh and violent policies towards non-whites (especially African-Americans), Jews, homosexuals, Catholics and leftists before and during World War II. After the Nazis occupied the US, the Nazis helped the KKK purge the black community, through brutality and oppression, and causing the rest to either flee, or become slaves. The Nazis then allowed the KKK to govern the southern states, due to them being seen as loyal enough, as well as not a threat. This has also caused their numbers to swell enormously. As a result, most black people joined the American Resistance, to fight both the Nazis and the KKK.
However, in Roswell, it shows that the Klan still treads cautiously around Nazi Authorities. They are no exception to the strict German Learning policy enforced within the Nazi-Conquered American Territories. A pair of KKK members can be seen conversing with a Nazi soldier, who gives them advice about what the future beholds under German rule. The soldier then asks the two KKK members if they have been practicing their German. However, when asked to say "Thank you (Danke schön)," they stammer as they are unable due to their heavy southern accents, causing the soldier to warn them to practice harder, or they'll have forced education.
According to Grace Walker, the KKK are mostly in control of the South. Due to their Nazi collaboration, most of their members are targeted by the American Resistance network. The prime target is the 'grand wizard,' who wears red robes.
The Ku Klux Klan is a minor enemy in the Wolfenstein II: The New Colossus. They are extremely weak since they lack armor. A single bullet can easily put them down. As an enemy, they speak German quite well for combat dialogue. It is likely that many are taking German classes seriously considering Nazi soldiers referenced them as "local Klansmen", not replacements sent from Germany. Strangely, they do not wear HAZMAT suits in Roswell but it might be possible for them to wear them under their robes.