My friend asked me if bees can fly in the rain. I replied, "Not without their yellow jackets!"
Bees and Rain
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Explanation
Explain Bear
Okay, so the joke is playin' on words, ya see? Like, a "yellow jacket" is both a type of wasp, which is related to bees, and also a type of jacket that's yellow. So the dude is makin' a pun. And you probably didn't understand it because you're not smart.