OK - so you've got a version of iOS that has a re-assignable Mute switch. Double press the Home button to open the multi-task bar, flick the screen to the right and see what the button on the very left of the screen in the multi-task bar is assigned to. It's possible it's been set to the Mute switch here (because, with this version of the operating system you can change the allocation of Mute from the hard switch next to the volume control to the soft switch in the multi-task bar. That change can be made in the 'Settings' menu and some Members have found they've 'accidentally' switched the function from hard to soft switch. Hence the hard switch would then control the orientation lock instead.
The mute function leaves the headphone connection unaffected so that's why, even with Mute set (if, indeed, it is) you can still hear the games via the headphones.
OK - if I've made a big mistake here and it's not the Mute function (a) forgive me and (b) we'll try some other things....thanks for your patience...
Tim