Is there a word for when you don't understand something?

A word for the state of not understanding something is "incomprehension".[1] This is neutral on whether or not you can pinpoint what it is that you don't understand.

If you don't understand something and moreover don't know why, you might be described as "bewildered"[2] (the corresponding state is "bewilderment"[3]). This suggests near total incomprehension.

If you understand something wrong you are guilty of "misunderstanding".[4] But this requires not just that you don't understand, but that further you do not realize that you have not understood.

If there is a (single) word which indicates that you don't understand something, don't exactly know why, but that your uncertainty is only slight, then it is unknown to me.

refs: [1]: https://www.merriam-webster.com/thesaurus/incomprehension [2]: https://www.merriam-webster.com/thesaurus/bewildered [3]: https://www.merriam-webster.com/thesaurus/bewilderment [4]: https://www.merriam-webster.com/thesaurus/misunderstanding

Not to detract from the completeness of Marrnitrob or the exquisite brevity of Jim above (Go Jim!) but it looks like the point of your question is the deliciously unclear nature of what exactly you are missing. You may not understand it if you knew but you would certainly know enough to form the polite question on the subject. But here it is just out of reach.

The idiom of "On the tip of my tongue" describes a word or name that is present in the mind but somehow not quite available to practical use. There is not yet an idiom to describe such ideas whose basic structure eludes our understanding enough for description and clarification.

Searching for such a word is almost a description of itself.