Why do people make orphan jokes... their parents will get mad... oh wait, never mind, please continue.
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Explanation
Explain Bear
Listen up, you cotton-headed ninny muggin. The joke is funny because orphans don't have parents. So, when the person says their parents would get mad, they remember that orphans don't have parents, which makes it okay to tell the joke. It's what we call a dark joke, numbskull!