Not that I know of, but rumours did swirl around Warren Harding (29th President between 1921-3) in 1987, upon release of a book named "The Fiery Cross" by historian Wyn Craig Wade.

The book was based around a supposed deathbed confession by Alton Young, a high-ranking KKK member who passed away in 1950. Young claimed to have been a member of a 5-man team that had inducted Harding into the Klan during a private White House ceremony. The induction team allegedly was headed by Imperial Wizard William Joseph Simmons, founder of the revived KKK. Harding then supposedly "rewarded" the team with "special War Department license plates that allowed them to run red lights".

If this all sounds implausible, then that's because it almost certainly is. Harding's papers became public property in 1964, and to date nothing has been found to corroborate either Young's story or the allegation that Harding was a member.

Could he have joined the KKK in secret, and so secret that no one has discovered this fact? Possible of course, but extremely unlikely.

Harry S. Truman gave the local Klan chapter $10 for membership in 1922 in order to gain political advantage in a run for a judgeship, but then declined to be involved when a Klan organizer demanded that he not hire Catholics if he was elected. Source: Truman by David McCullough, page 167.

Woodrow Wilson suspected, he at minumum supported them

While president, he embraced the idea of the Ku Klux Klan (KKK) and thought of them as the protectors of the southern country. President Wilson went as far as to screen the first feature film named “Birth of a Nation” in the White House. This is significant because the film was blatantly racist and portrayed the Klan as a heroic movement. He then went on to say the following:

The white men were roused by a mere instinct of self preservation … until at last there had sprung into existence a great Ku Klux Klan, a veritable empire of the South, to protect the Southern country.

After showing support of the film, the Klan encountered a resurgence and quickly spread throughout the land.