I am watching Alf series in English. It is a great and fun way to learn the language. When I come across a word or a phrase I don't understand, I look it up in the dictionary. However, there are some things which are still not clear to me. Could anyone help, please?

Kate: I hate to be a black cloud, but what do we do with ALF... When Lynn has her pajama party next week?
Lynn: That's right.
ALF: No problem. I wear a size 5, but nothing with feet in it! Ha! Ha! Ha!

I have no idea what Alf means saying "I wear a size 5, but nothing with feet in it!" I listened to the translation, and it goes like "- Lynn is having a party next weeek (they skipped "pajama" because we don't have pajama parties in Russia). - I wear a size 5 tuxedo, and it is too tight on me!" I guess the translators didn't get the joke either Emotion: wink
These are regular pajamas:

These are "pajamas with feet":
Well, size 5 is the clothing size. I imagine ALF is saying that he doesn't wear pyjamas that are closed at the bottom, like socks. I'm not sure if there is a specific word for those kind of pyjamas, but they are more likely worn by babies and young children. That is the "with feet in it" part. A quick search on Google shows that some of these type of pyjamas are described as "footed", and the pyjamas are referrer to as "sleepers".

Try a Google Image search for "footed pyjamas" to see some pictures of pyjamas with 'feet'.
Students: We have free audio pronunciation exercises.
I don't remember this particular episode (though I loved the series), but I suspect it means that Alf doesn't want pyjamas that have built-in feet, like a baby's sleep-suit does. If you look at the size of Alf's feet, you'll see why - they are big!

Anyone in the US - is that right?

 free_spirit's reply was promoted to an answer.
Students: Are you brave enough to let our tutors analyse your pronunciation?
Ahhh, I see now! Emotion: big smile Footed pajamas! Sure, it would be impossible for Alf to wear them.

Thanks a lot, guys! I appreciate your answers.
It is the very first episode, in which Alf's spaceship crashes and he wakes up on the coffee table. I got my hands on the first two seasons, and I have just started watching.