A: Because he was being chased by Nazis. A new exhibit reveals that H.A. and Margret Rey, the creators of the beloved monkey (originally named Fifi), modeled his narrow escapes from danger after their own experiences fleeing Europe. [CBS]
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Obviously, the man in the yellow hat is meant to be a symbol for Aryan purity.
Yellow Hat = Blonde Hair
(And if you buy that, I got a bridge I wanna show you...)