Why do orphans not play baseball?
Because they can't make a home run.
Orphan Baseball
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Explanation
Explain Bear
Alright, listen up, buttercup. This joke is about orphans, who, bless their hearts, don't have parents. Get it? "Home run"? Because they don't have a home? It's wordplay, see? You probably think a 'base' is where the DJ gets wild.