A Klein bottle is similar to a mobius strip. It's a single surface with a single side. This surface doesn't have an outside on the one side and an inside on the other. The model therefore doesn't circumscribe a volume and so it is not printable.

You could try Cura's Surface Mode, but there are too large overhangs for it to be reasonably printed as such.

You could try to print it normally and then view from the bottom how it's not a real Klein bottle any more.