Sure they do. Based on the one they're waving the highest, it looks like they prefer the Jolly Roger. For the record, did you know that the largest Klan rallies in American history were held not in the south but in the middle of yankeeland? They were in Indiana, D.C., and, perhaps the most interesting, the one held just outside of New York City in 1924 to coincide with the 1924 national convention of the Democratic Party.
Since the pictures I posted are much more recent than 1924 it looks to me like the Klan has returned to their roots, so to speak, and have readopted the flag of their founding fathers.