That would be INCREDIBLY awesome, considering that it would require pieces that have a curve in to the 4th dimension (or perhaps just pieces that could pass through each other). A Klein bottle is a 2-dimensional surface cannot be embedded in a 3-dimensional space without crossing.
I think the flat version is a more authentic representation of the 4-dimensional object. If you were a 2D creature embedded in the surface of a Klein bottle, space would seem flat in every direction... at least until you went out for a walk and found the mirror-image of your house.
I have a 3D jigsaw puzzle that makes a globe (i.e. the Earth) that consists of curved plastic pieces. It shouldn't be too hard to make such a Klein puzzle, though solving it is harder. The globe puzzle includes a small bowl (of the same radius as the finished globe) to assist putting the pieces together; this wouldn't be possible with a klein bottle due to there not being a consistent radius.