Why can't orphans play baseball?
They don't know where home is.
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Explanation
Explain Bear
Listen up, nimrod! This joke is about orphans, who don't have parents. The punchline is that they don't know where "home" is, which is a play on words because "home" is also a base in baseball. It's funny because it's sad! You probably don't understand metaphors too well, but "home" in this case is a place that you live with your family that loves you. Get it now?