I think Ennis's status as an orphan is a tremendously interesting part of the story. Given his rough upbringing (his father subjecting him to something as awful as the sight of Earl's body/ his father making sure Ennis knew the details of that horrible incident, his brother beating him up all the time, losing his parents, etc., etc.) it makes the sweetness he finds in Jack seem all the more wonderful. You get the sense that by the time he met Jack he not only hadn't spoken much to anyone for a long time (as he tells Jack), but that he certainly hadn't had any kind of affection (like a hug, or a kiss, etc... no lullabies from his Mom) for ages either. Jack's warmth must have seemed like a whole new world compared to the mean-spiritedness of his father and the seeming coldness of his siblings (no more room for Ennis). Ennis's embrace in the flashback while humming his Mother's lullaby to Jack is almost too heartbreaking when you really think about it...
No wonder Ennis was upset about parting ways with Jack at the end of the Brokeback summer. Ennis probably would have just been consumed with fears of abandonment based on all of his loss as a child/ younger teenager.
The other thing that I find fascinating about Ennis as an orphan is his interaction with Jack's parents at the end. Back on imdb there were great, long threads about the lengths Jack's Mother goes to in order to make Ennis welcome. To make this point in a concise way... If Ennis had moved up to Lightning Flat with Jack as Jack had dreamed, then Ennis would have found himself with a new and loving Mother-figure in his life. Dealing with Jack's Dad on a regular basis probably would have been stressful and almost a comedy of errors at times. But, you get the sense that Jack's Mom would have tried her best to be great to Ennis if he had moved there with Jack. Her level of generosity and understanding to him in this one brief visit goes a long way to supporting this idea I think. In a more general sense, it's wonderful to see how respectful Ennis is of Jack's Mom and how almost fascinated he seems by her.