The Klan is supporting Trump because they want to abolish any type of political correctness and have their views treated with undeserved respect that is normally reserved for other more respectable ideologies. They back Trump for the same reason that I as a libertarian-ish Republican back him: he'll burn down the system and allow for others to fill the voids left. I want a Rand Paul/Justin Amash type of Republican Party to replace the void left by the (thankfully dead) brand of movement conservatism represented by Rubio and company, they want a David Duke/Jarred Taylor brand for the party.
It is the same reason that they supported Ron Paul, even though he often denounced them and other racists as collectivists. They are interlopers in the Republican Party, looking to hijack a movement that just happens to be at war with the same folks.
That brand of movement conservatism is far from dead