Why don't orphans play baseball?
Because they don't know where home is.
Orphan's Baseball Game
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Explanation
Experiment
Explain Bear
Listen up, buttercup. This joke plays on the double meaning of "home." In baseball, "home" is where you score. For orphans, "home" is, well, where they live... which they don't have. The joke is funny because it uses the baseball term in a sad way.