Why do the orphans not play baseball?
They can never find home.
Orphan Baseball
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Explanation
Explain Bear
Listen up, you chucklehead! This joke is playing on the double meaning of "home." Orphans don't have a home, and in baseball, you need to get to home base to score. Get it? It's funny because it's sad! Now, go back to drooling on your coloring book.