I don't know if anybody would really want that kind of thing but I don't recall seeing very much Klan footage of actual meetings so is there a place maybe I should donate it or something? This was the wife's family but this thing is definitely complete with a cross-burning and everything.
Are you sure it is Klan footage? Do you have a provenance? If yes, people will be interested.
However... if any of your wife's family were Spanish Catholics it may be a religious ceremony. When I was in school a very WASPy academic type went sideways because he had discovered "Klan photographs" .... Actually a traditional group of Spanish Catholics who dress in hooded white robes in preparation for carrying the statue of the Madonna around the pueblo...