I hate when someone is mad at you and they won't tell you why.

Yep…
A bit annoying AF

I mean, I can understand if something is bothering them and they're just processing/ not ready to talk about it...

but making a game out of it?
Nah, got no time for that.
Let them stay mad

It's manipulative and simply just a way to punish you. It could also just be an avoidant way of communicating but it's still their responsibility to come back with an explanation.