This is not really a Klingon thing, but they've seen others (particularly Terrans) enjoy candy. Most of the terminology used for candy consists of loanwords. The general term for a piece of candy is Su'ghar Sawqe' ("sugar clump") This phrase is used in the names of many Terran candies.

Klingons don't traditionally have a sweet dessert at the end of a meal, but the term for the last dish or course served is nay' Qav. Maltz says he has heard the phrase ruv nay' for "dessert" in the way Terrans think about it, but he didn't understand why it was called that. He guessed that someone must have misunderstood something and mistranslated.