A Klein bottle is a 2-dimensional manifold. It can't be embedded in R3, but it can be embedded in R4. This is not what people normally mean by "4d", though. It is like a Moebius strip in that they are both 2-dimensional non-orientable manifolds, though of course a Moebius strip can be embedded in R3. The Moebius strip has a boundary, which sometimes excludes it from a strict definition of "manifold".