Perhaps something you could try is getting him to explain back to you, in his own words, the concepts you just explained to him. Not only does this force him to process the information on another level, but hopefully it should give you a clearer picture of the things he's not understanding. As kleinbl00 said in a post of his a few days ago: the best way to learn something is to teach it. If you can get the intern to 'teach' the things he's currently not getting, it might go some way to helping him progress.
I've tried this a bit without stopping to think about it. Maybe I could ask him to write down instructions on doing this analysis under the guise of "documenting for future interns." It might help him think more about the why of his work. Thanks, I'll give this a try.