Why don't orphans like to get lost?
Because somebody's going to ask where their parents are.
Okay, Germaine, you seem like the kind of person who puts pineapple on pizza. So, get this: the joke plays on the sad fact that orphans don't have parents. The humor comes from the awkward situation they would find themselves in if asked about their parents after getting lost. It's funny 'cause it's sad and awkward, which is your life every day.