What's an orphan's favorite sport?
Baseball, because that's the only time they can run home.
Orphan's Baseball
Explanation
Explain Bear
Listen up, dummy! The joke plays on the double meaning of "run home" in baseball. In baseball, players literally run to "home base" to score. But for orphans, the joke implies they don't have a home to run to, making it a sad, but also funny, situation. Get it now, or do I need to draw you a picture?