Why doesn't the orphan have a nationality?
He doesn't have a motherland.
Orphan's Nationality
Explanation
Explain Bear
Listen up, buttercup. The joke is playing on the word "motherland". You see, "motherland" is a term for a person's native country. Orphans don't have a "mother", so the joke is that they don't have a "motherland". Do you get it now, dummy?