So, a nun walks into a theater. No, really. It’s not a joke. Not yet. It’s Patti Hannon, star of the long-running “Late Nite Catechism” shows at the Scottsdale Center for the Arts. For the holiday season, though, she’s moved her wacky class in Catholicism to the nearby Theater 4301 for “Sister’s Christmas Catechism: The Mystery of the Magi’s Gold,” a staged classroom Christmas party with songs, a living Nativity and loads of laughs.