A child's parents once lived in Chicago.
I wonder why he's in an orphanage now.
Chicago Orphan
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Explanation
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Explain Bear
Alright listen up, buttercup. The joke is dark because the kid's parents *used* to live in Chicago, implying they're dead now, which is why the kid is in an orphanage. You probably thought they just moved to the suburbs or something, didn't you? Bless your heart.