Place it at the end of a reaction sequence in your edit, after the statement that caused the confusion. Pair it before a Ceeday Huh sound for a second layer of confusion, or follow it with a laugh track reaction to close the bit.
About this sound
This clip is Sid from Ice Age saying “Não entendi” in Portuguese, a quick one-second line delivered in his unmistakable lisping voice. It lands as pure bafflement, the funny, blank feeling of hearing something and grasping none of it, which is why the short delivery hits instantly.