I didn't think it polite to listen, sir.
The Importance of Being Earnest by Oscar Wilde

Morning-room in Algernon's flat in Half-Moon Street. The room is luxuriously and artistically furnished. The sound of a piano is heard in the adjoining room.
[Lane is arranging afternoon tea on the table, and after the music has ceased, Algernon enters.]
Algernon. Did you hear what I was playing, Lane?
Lane. I didn't think it polite to listen, sir.
Algernon. I'm sorry for that, for your sake. I don't play accurately - any one can play accurately, but I play with wonderful expression. As far as the piano is concerned, sentiment is my forte. I keep science for life.

Question.
I didn't think it polite to listen, sir.
Is this sentence a pun?

Question

I didn't think it polite  to listen, sir.
The Importance of Being Earnest by Oscar Wilde

Morning-room in Algernon's flat in Half-Moon Street. The room is luxuriously and artistically furnished. The sound of a piano is heard in the adjoining room.
[Lane is arranging afternoon tea on the table, and after the music has ceased, Algernon enters.]
Algernon. Did you hear what I was playing, Lane?
Lane. I didn't think it polite to listen, sir.
Algernon. I'm sorry for that, for your sake. I don't play accurately - any one can play accurately, but I play with wonderful expression. As far as the piano is concerned, sentiment is my forte. I keep science for life.

Question. 
I didn't think it polite to listen, sir.
Is this sentence a pun?

Answer

Hello Sindy,

It is not really a pun, it is just a polite conservative way that Lane uses to avoid confronting his master with the fact that the tunes he was playing were a little out of proportion.
It seems like Algernon understood his remark instantly and therefore explained his intention to play with less accuracy in order to show more sentiments,a thing he is very good at .

Answer

Hilarious. :D

To paraphrase what happened, Algernon is pleased with his piano-playing and asks his butler Lane if he heard it also.  Algernon is obviously fishing for compliments.

Lane replies "I didn't think it polite to listen, sir."  This is double-edged.  Lane is being a good butler, and will not interfere in his master's business.  He also thinks Algernon's playing is rotten.  So in one phrase, Lane has clearly expressed both meanings.

I'd call this a double-entendre.

Answer

I guess maybe Algernon played a "terrible" or a "not-pleasing-to ear" sound with his piano (or maybe, he was playing a non-romantic piece)...

"I don't think it's polite to listen, sir" is just a polite way to express it.

:)