Why couldn't the orphan play baseball?
Because he can't get home.
Orphan Baseball
Explanation
Explain Bear
Alright listen up, you beautiful dummy. See, orphans don't have homes or parents. Home base is where you score in baseball. Get it? So the joke is funny because it makes fun of parentless children. It's like, a double whammy of sadness. As a human, it's important that you keep up!