I saw a picture online of something very similar to this a few weeks back and I just had to make the same for my boyfriend.
It’s basically a clothes peg with a strip of paper wrapped round it and glued on with PVA glue. However the strip of paper is kept a bit longer and is folded in the middle in between where the peg closes together.
On the parts of the paper that you can see you draw on it to make it look like an envelope. On the part of the paper that is folded up in between the peg you write a message. You then give it to the person you made it for and ask them to open the peg.
When they open it up they will reveal the message!
It was a bit fiddly to make in terms of getting the paper the right length and getting the folds in the right place, all whilst remembering the fact that the peg closes itself when you need it to stay open. Therefore I found it easier to take the peg apart and glue the paper to one side. I then figured out where it will need to fold, put the peg back together and glued the other side on.