Why can orphans never be kidnapped?
No one can tell them that "your parents said that they would be delayed and I was told to pick you up."
Listen up, buttercup. The joke is that orphans don't have parents. So, a kidnapper can't trick them by saying their parents sent them. It's like saying I can't eat honey because I'm on a diet, which is a lie. I'm always on a honey diet. Duh.