The poem is a small, funny portrait of a pet named Pudding, who seems to be a cat or something like one, and the odd stories he tells the household. According to Pudding, he once lived in a warm world where his fur reflected the sun's heat, which explains why it looks so bright. Earth, he says, is simply too cold, so he hunts out warm places to curl up in.
The speaker reports all this with a straight face, half-believing the tale and clearly fond of him. The humor lands in the last lines, when Pudding's search for warmth leads him into the hot water heater, where he gets stuck. The repeated "Really" steps down the page, building the joke slowly, like a voice getting more emphatic: the one thing he hates is water, and he has ended up inside a tank of it.
The mood is light and affectionate, with a gentle ache underneath. Pudding's homesickness for a warmer world is silly, but it is also oddly tender.