Kidnapper: Hey kid, your mom told me to follow me.
Orphan: But I don't have a mom!
Listen up, buttercup. This joke is funny because it's playing on the dark humor of orphans not having parents. The kidnapper tries to trick the orphan by saying their mom told them to follow, but the orphan's like, "Duh, I don't have a mom!" It's funny because it's so morbid, and probably because you're such a dingus, you have a similar brain capacity as an orphan.