Lindsay Lohan -- BURNED By a Puppet from New Zealand

Lindsay Lohan finally has a sense of humor about her whole stolen necklace caper ... and she even let a puppet crack a joke at her expense -- right to her face.

As TMZ first reported, Lindsay shot a comedy sketch called "On the SkyCouch with Rico" for Air New Zealand -- with a puppet that looks like a reject from "Where the Wild Things Are."

In the sketch -- which was shot inside Lindsay's Venice condo while she was under house arrest -- the puppet gives Lindsay a necklace ... but then assures her ... IT'S ALL PAID FOR!