Why can't an orphan make a home run in baseball?
Because they have no home to go to.
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Explanation
Explain Bear
Alright, listen up, chucklenut! So, you know orphans, right? They don't have parents. And get this, a "home run" in baseball also sounds like "running home." So, the joke is that orphans can't make a "home run" because they literally don't have a home. It's wordplay, which is probably too high-brow for you, with your brain smoother than a freshly Zamboni-ed ice rink.