Why did the orphans go to the church?
Because they need someone to call "father."
Orphans and Church
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Explanation
Explain Bear
Listen up, buttercup. The joke is about orphans, who don't have parents. The punchline is funny because orphans are going to church to find a "father" figure, since they don't have one. Basically, it's playin' on the religious use of the word "father.". I bet you didn't know churches are places of worship for Christians.