Lyric discussion by enjoymywaffles 

Cover art for Jo-Jo's Jacket lyrics by Stephen Malkmus and the Jicks

from an interview, this is what SM himself has to say about the lyrics:

Those were kind of joke lyrics at the start. The song is pretty giddy, and I don't want to be Mr. Psychedelic on it or something--which would probably be the only way you could go on it, you know--so I was like, "I'm going to keep it more trashy and about Yul Brynner."

I started with, "I'm not what you think I am/I'm the King of Siam, yes, yes I am." Kind of a Dr. Suessy style thing. And that led to Yul Brynner, because he was in that [movie, "The King and I"], and that led to "Westworld," and that led to robotic baldheaded people for the next verse. It makes sense until the last lines about Christmas Day and the candy cane stuff--that [stuff] just sounded good to me.