The rumors you may have heard are true: the Ku Klux Klan was indeed active in Covina a century ago.
In his 1964 history,1 Donald Pflueger tells of one well-attended KKK event (p.102). He quotes the Covina Argus of August 8, 1924:
Several hundred people gathered at the city park last Saturday night to listen to a program put on by the Ku Klux Klan. Seats had been provided and the audience was kept interested from the opening band concert until the close of the lecture given by Realm Lecturer Lackey, from the Imperial Palace at Atlanta, Georgia.
Pflueger continues:
Apparently it was an audience of curiosity seekers, because the organization made little progress among Covina’s citizenry. Nonetheless, Covina was one-hundred percent white; Mexicans lived in Irwindale and elsewhere. No one seriously questioned the “White Race Only” sign on the city’s plunge.