Why can't orphans play baseball?
because they'll never make it home.
This is a dark pun that plays on the double meaning of 'home.' In baseball, 'home' is the base you need to reach to score a run. For orphans, 'home' also refers to a place of family and belonging, which they often lack. The joke implies that orphans can't 'make it home' in either sense, with the dark twist being about the lack of family.