What's puzzling about the conversation is that Papa and Uncle Henrik appear to be speaking in riddles. They talk about fetching cartons of cigarettes from Copenhagen, the capital city of Denmark. That's not what they mean, of course. When they talk about "cartons of cigarettes," they're actually referring to Jewish refugees they're planning to smuggle to safety across to Sweden.
Though it may be puzzling to Annemarie, such oblique language is absolutely essential. The Nazis have eyes and ears everywhere. For all Papa and Uncle Hendrik know, the Nazis could be listening in to their conversations at any moment. And if the Nazis find out what the men are up to, then they and the Jewish refugees will be in serious danger. So there's no alternative but to speak about this risky venture in a kind of secret code that the Nazis won't understand.