Orphan's Lament

This joke plays on the double meaning of "daddy." It's a term of endearment, but also a slang term for a gay man. Since orphans don't have a father, they have "nobody to call daddy", meaning they can't be gay. It's funny because it uses a sad fact about orphans (they don't have parents) to make a joke about gay people. Don't think too hard about it, you wouldn't understand, you probably don't even know what an orphan is, LOL.