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It’s a reference to Klay Thompson, a shooting guard for the Warriors who “makes” a lot of three point shots.

Thanks, if that isn't a joke reply I can confidently say I would have never made that connection in a million years

Ha! I thought it was a reference to clay, the material as being a substance for "making stuff"

My guess was because you use "clay" to make things? Seems pretty weak.

Klay and Clay sound similar?

Very much. Am not a native English speaker