Why was the baby cookie sad?

This joke is a pun, which is a form of humor that exploits the different possible meanings of a word or words that sound alike but have different meanings. The key to understanding this joke lies in the play on words involving “wafer” and “away for.”
The joke sets up a scenario where a baby cookie is sad. The punchline reveals that its sadness is due to its mother being a “wafer so long.” This phrase sounds very similar to “away for so long.” In the context of cookies, a “wafer” is a type of thin, crisp cookie. So, the joke is making a clever play on the double meaning – the literal interpretation that the mother is a type of cookie, a wafer, and the implied meaning that the mother has been absent or “away for” a long period, which would be a common reason for a child (or in this case, a baby cookie) to be sad.