Spoken as a single line, "Please pretend that you understand" sounds like a request made by someone who has given up on being truly understood. The speaker isn't asking for real comprehension. They're asking for a performance of it, which is both humbler and sadder.
The title, "On the Radio," gives the plea a strange setting. Radio is a one-way medium: a voice goes out, and the speaker can't tell who is listening or whether anyone answers. That fits the line well. It could be a person speaking into the void, or someone who feels that everything they say lands like a broadcast that no one quite tunes in to.
The mood is quiet, vulnerable and a little weary. There's no anger here, just a small, honest admission of need. The speaker seems to settle for the appearance of connection if the real thing isn't on offer. The poem leaves it to us to decide who is being addressed, and whether they'll play along.