Why do orphans love to go to church?
Because they can finally call someone "father!"
Orphans and Church
Explanation
Explain Bear
Listen up, buttercup. The joke is about orphans, right? Orphans don't have parents. Churches have "fathers," who are the priests. So, the joke is that orphans go to church so they can finally call someone "father." It's funny because it plays on the double meaning of "father." You're welcome, genius.