I've had this happen, strangely enough with Paranoia. I've GMed Paranois for probably 30-40 players over the years, and until the last time I dusted it off, I'd never had a problem.
I needed a break from my regular D&D game that I ran, and as it happened to be around April Fool's Day, Paranoia seemed appropriate.
Everyone made characters, and I set them on their mission. Most of the group of 8 got the idea by the time a half dozen clones or so were vaporized. But one guy and his wife just never really got it.
I think that they couldn't understand anything, least of all why their characters got killed repeatedly, by the NPCs, the other players, the vehicles, and even their own equipment. They couldn't quite make the leap to "we're screwed, so let's have some fun on the way out."
Everyone else out of the eight or so playing had a blast (especially when the plasma generator melted down), so I don't think it was my GMing style. But the two disliked it so badly that they said they never wanted to play it again.
I was actually really surprised as the guy was the most notorious hack and slasher our D&D group had. He was also notorious for doing foolish things and getting his D&D characters killed regularly (we play weekly, and he managed to do in 5 characters in a month one time, with no other party losses).