The poem treats monarchy as a toy: a jack-in-the-box, a king who pops out to startle us. The title sets up that joke, and the first lines keep it going. The king exists "to surprise us," which makes him sound more like entertainment than authority.
The poem then drifts into something less playful. The king once did something odd and grand, bolting wheels to a horse, which reads as a clumsy mix of the old and the mechanical. Then he "went away and left us" with "our little iron lie." The poem doesn't say what that lie is, but the iron suggests something hard, cold and manufactured, perhaps the whole idea of kingship, or whatever substitute he left behind.
The speaker sounds wry and a little weary. There's amusement at the absurd image, but also a sense of being abandoned and fooled. The mood is dry, small and quietly bitter, as if the joke has gone stale in the telling.