Orange peel contains a small amount of a mixture of volatile organic compounds. These compounds are flammable and will ignite when sprayed into an open flame.
Using peel from a fresh orange will produce the best results. Other citrus fruits will also work (e.g. tangerine peel, lime peel ...).
My guess is that the compounds act as a natural pesticide in order to keep insects from damaging the orange.
Music: Beethoven: Moonlight Sonata, Op. 27 No. 2 - I. Adagio sostenuto. Performed by Paul Pitman.