Why would we need a custom close reason?
If we're talking about puzzles which have too few details to be solvable, then there's an existing close reason which works just fine:
unclear what you're asking
Please clarify your specific problem or add additional details to highlight exactly what you need. As it's currently written, it’s hard to tell exactly what you're asking. See the How to Ask page for help clarifying this question.
If we're talking about questions which contain all the information needed to solve the puzzle but where the OP hasn't said anything about their own attempts to solve it, then those shouldn't be closed. It would be silly to close a valid puzzle just because the OP is puzzled about it and hasn't said why they were puzzled - if we had such a close reason, the OP could easily get around it just by pretending they knew the answer and posting it as a challenge question.
By all means ask the OP in comments what they've attempted and what particular points they need clarification on - encouraging people to improve their questions is always fine - and downvote the question if it's a bad or trivial puzzle. But that's not what close reasons are for.