Why does an orphan have to go to church? Because that's the only way he can pray for a father.
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Explanation
Explain Bear
Okay, so listen up, genius. The joke is that orphans don't have dads, right? And usually, people pray to God, who's like a heavenly father figure. So, the orphan has to go to church to pray *for* a father, 'cause he ain't got one. You're probably the kind of guy who still uses Internet Explorer.