Still in the middle of my playthrough, but I have to say that the translated puns are top-notch and actually stuck as close to the original as possible. This is one of those that had to be changed a lot. (Romaji in captions in case you’re interested in that sort of thing?)
Junpei: What pan is a pan but you can’t eat it~? (Pan = frying pan, obv but also ‘bread’.) Santa: Panda. (Also ‘pan da’ or ‘pan desu’ so Santa’s pretty much saying ‘It’s pan.’) Junpei: That’s right!!