Peel the orange without including any of the pith, then cut the peel into shreds. Divide the orange into segments and remove the membrane and any remaining pith. Put the orange peel and segments into a pan on a low-medium heat with the rest of the ingredients for the orange sauce, and stir together gently. It will start to break down and become almost like marmalade. Cook for around 15 minutes, continuing to stir – add a splash more water if it looks like it needs it. It should be thick but not too runny.
To make the leche frita, put the milk into a saucepan on a low heat with the lemon zest and cinnamon, and infuse until steaming. Pass the milk through a sieve.
Off the heat, put the egg and egg yolks into a separate pan (a sauté or other high-sided pan, as you are going to be whisking the sauce in it) and whisk together. Add the sugar and whisk together until fluffy and billowing, then add the cornflour. Add the milk to the egg mix slowly, bit by bit, then place on a very low heat for around 12–15 minutes. You have to keep stirring – if you leave it for a minute it will burn underneath, so you need to make sure it’s moving.
Line a container with cling film, leaving enough overlap to wrap round. Pour in the milk and egg mix, wrap the cling film over the top (covering it), and leave it in the fridge until you can touch it with your finger and feel that it’s squidgy – like jelly but not. You can do this the day before. The next day, or 5–6 hours later, remove the cling film and you will have a block of leche frita. Slice, then cut into pieces around 3cm x 2cm.
Put the oil into a pan on a medium heat. Flour and egg-wash the pieces of leche frita, then shallow-fry for 30–40 seconds, turning them over once. It will be very creamy and almost melting inside.
Spoon the orange sauce on to plates and top with the leche frita. Sprinkle with icing sugar and serve.