Why did the orphan live at school?
Because on the first day his parents didn’t pick him up.
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Explanation
Explain Bear
Listen up, dummy! The joke is that orphans don't have parents, right? So when the joke says "his parents didn't pick him up," it's funny 'cause orphans don't HAVE parents to pick them up! It's a play on words, see? You probably still don't get it because you look like a toe.