He ought not to mock him much. Ghosts are quite real where Kíli comes from, even though they are hardly ever seen outside of the Halls of the Dead, and thankfully so. For the ghosts he knows can harm the living, whereas no common mortal blade can bring them down.

"Happy? How are ghosts happy? They are evil and dangerous, and I suspect all the more so, should they ever feel happy!" He looks outright scared right now, though he quickly swallows down the fear and tries to calm his voice. "Who is Santa? Another ghost? And why do people even keep these around if they are so dangerous? Why not just... toss it away?"