MILWAUKEEAN PLAYS OFF HIS FOREIGNER STATUS   Are any of you people from Milwaukee?" an emcee asked when HBO was taping one of its "One Night Stand" programs at the Vic Theatre Last December. "Well, for any one of you that is, this next guy's a local guy... Fred Klett."   "And, of course, the crowd kinda grumbles a little," Klett remembers now of the night when he was one of the warmup comedy acts. But that's the kind of response you'd expect, seeing as though Chicago and Milwaukee have a hate-hate relationship going. A setup like that isn't exactly the best way for a comic to get a crowd on his side.   But Klett, forged ahead that night to turn his usual high-energy performance. And Klett says that he wants Chicago crowds to know that he's a Milwaukeean (Milwaukeeite? Milwakeer?), because he can work that to his advantage.   "In comedy," says Klett, "you usually have something to play off of, it just makes it easier to get going. Chicago does react to Milwaukee. You get the usual people calling out 'cheesehead' and 'yah-dere-hey.' It just gives you something to play off of."   Klett, who calls Chicago "one of my favorite cities to play," says that he doesn't have any real problems in Chicago, because the crowds are paying to hear jokes, and it doesn't matter where the person who tells them hails from.   "If you make them laugh, they laugh," Klett says. "They don't say, 'Well we're not gonna laugh 'cause this guy's from Milwaukee. Even if he's funny, let's just not laugh.' They don't do that."   He started in comedy five years ago by doing open-mike amateur night shows in Milwaukee. In addition to playing some regional cable television programs, Klett has been featured on Showtime's "Comedy club Network."   -- Chicago Tribune