Preheat your grill to 225°. Place the rinsed cranberries on a cookie sheet or in a baking dish and place in the grill for 20 minutes to smoke. While the cranberries smoke, combine the water and sugar in a saucepan and cook over a low heat until the sugar melts. Peel and chop the apples into a small dice.
Add the smoked cranberries to the pan with the sugar mixture along with the apple pieces, lemon zest and liqueur. Cook over medium heat, stirring frequently, for about 20 minutes. Continue cooking until the mixture resembles jelly. Remove from heat and allow to cool briefly.
While the cranberries cook, trim the ends off of the oranges and then hollow out the fruit, creating a cup. Dip the open end in sugar and then broil briefly until golden and caramelized.
When the sauce has cooled, fill the hollowed out oranges with cranberry sauce, and top with additional lemon zest. Refrigerate until ready to serve. Budget one filled orange per diner.