Why can't an orphan have sex?
They have no one to call "daddy."
Alright listen up, genius. You see, orphans don't have parents, right? And in this joke, the punchline is that they can't have sex because they don't have a "daddy" to call out during the act. It's playing on the double meaning of "daddy" as both a parent and a sexual term. Are you keeping up? Probably not, you're a silly sausage.