This is very common. Just yesterday, following a recommendation on another SX site, I read a science-fiction story by Fritz Leiber that holds up very well sixty years later. So it’s fresh in my mind for several good examples, such as:
Votbinnik had Jandorf practically in Zugzwang (his pieces all tied up, Bill explained) and the Argentinian would be busted shortly.
You can use this for effect. The Fritz Leiber quote helps establish that the world of chess has its own jargon that the viewpoint character asks for a “kindergarten explanation” of. (Another German borrowing, but one that’s lost its capitalization and italics.) Notably, the characters who talk that way are supposed to be arrogant, and the character who’s meant to be more sympathetic doesn’t explain things to the audience-surrogate the same way. And readers who know a little about chess—surely everyone reading a short story about chess sixty years later—will understand what Zugzwang is and appreciate how hard it is to explain to someone with no interest in chess.
Maybe the character who talks that way is supposed to be a stuck-up elitist, so condescending that he keeps explaining what esprit d’escalier means. Maybe the character speaks English as a second language. Maybe you want the reader to be as confused as your viewpoint character. Maybe you’re reminding the reader that your characters are really speaking a different language by throwing in the occasional untranslated word whose meaning will be obvious from context.
You’ve got to be a little careful with this, especially outside of quotation marks. “All according to Keikaku (Translator’s note: Keikaku means plan.)" shows how ridiculous a word sounds that’s completely gratuitous. If it’s not gratuitous because there is no pithy way to say something in English, you will end up needing to use even more words to explain the foreign word you just used. The explanation had better be worth stopping the story for. And using a word your readers won’t know and not telling them what it means is not communication.