"I feel, you love to use double entendre in the More's way."
It is a reference to the title of a book by Thomas More called Utopia. This is a pun on another Greek word, Eutopia, meaning "good place." The way More has spelt it, as Utopia, it means 'no place', that is, Eutopia doesn't exist, there is no place where it can be found.
As I say, this is more a pun, but would be termed a double entendre because that is "a word or phrase open to two interpretations, one of which is usually risqué or indecent."
Nowadays, we regard the essence of a double entendre to be that it is risqué, if not indeed, downright obscene! and would call a 'pun', a pun.
pun: a joke exploiting the different possible meanings of a word or the fact that there are words that sound alike but have different meanings
So - so...your speaker in your sentence would seem to be saying that the other person loves to make puns = makes lots of puns!!; and since puns can quite often bring groans from those who hear them because they can be 'corny', I fear the speaker is dryly mocking the other person who has made some terrible pun. That is, he has made, not an amusing risqué double entrendre, but one 'in the More's way': that he has only made a pun, similar to how More did in titling his book.
It is dry humour, and a scathing put-down, disguised as a not unpleasant observation, and may well have gone over the head of the other person.
Had he not used the words 'love to', then he might have been observing just the distinction, as I did above, between 'pun', and 'risqué double entendre'.