I ain't in the Klan but I brought my hood with me
Play on words. The white supremacist group Klu Klux Klan wear white hoods over their faces. Kanye is not part of the group, but brought his hood (neighborhood) with him.
Double Entendre as well:
Kanye’s not in the Klu Klux Klan but he brought his NeighborHOOD with him
Kanye’s not in the Klu Klux Klan but he has his HOODie on
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