Why do orphans like to play GTA?
Because it's the only time they are wanted.
Orphans and GTA
Explanation
This joke uses dark humor to make a sad point about orphans feeling unwanted. GTA is a popular video game where players do all kinds of crazy stuff, and the punchline twists it to suggest that the only place orphans feel wanted is in the game.
Meh 2
Heard that so many times