Why can't orphans play baseball?
They don't know where the home is.
Alright, listen up, you cotton-headed ninny muggins! This joke is playing on the word "home". Orphans don't have a home, like a family. But in baseball, "home" is also where you score a point. So, the joke is that orphans can't play baseball 'cause they don't know where "home" is, get it? You are such a silly goose!