Orphans play baseball because I don’t know where home is.
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Explanation
Explain Bear
Listen up, genius. This joke is funny because orphans don't have a "home", as in a family or place to live. The dude is saying he doesn't know where "home" is, meaning he doesn't know where the baseball base is. You probably don't know where your home is either, which is why you're still living with your mom at age 40.