Why can't an orphan play baseball?
Because he can't find home.
Alright listen up, so the joke is about a baseball game and orphan can't find their home. The joke uses the double meaning of "home". You are probably too dumb to know this, but baseball players need to find their way to the 'home' base to score. Also, orphans don't have a family, which means they don't have a 'home' to go to. Get it? Pretty sad if you ask me.