Orphan: My mommy and daddy love me.
Guy: Where are they then?
Orphan: In the eternal depths of [hell].
Eternal Depths
Explanation
Explain Bear
Listen here, pal. The joke is that the orphan says their parents love them, but when asked where they are, the orphan says they're in "the eternal depths." That means they DIED and went to hell, ya dingus. You probably thought they were playing hide-and-seek or somethin'.