Preheat the oven to 350 degrees F (180 degrees C). Fill a baking dish half way with hot water for the water bath.
Heat sugar and water in a heavy-based saucepan over medium-low heat; constantly swirl the sugar mixture in the pan until sugar dissolves and turns into a golden-brown caramel syrup, about 10 minutes. Watch carefully, as sugar burns easily. Pour melted caramel into a shallow baking dish and gently tilt dish to coat the bottom with caramel.
Mix egg yolks, condensed milk, evaporated milk, orange juice, and orange zest in a large oven-safe bowl; gently pour custard over caramel in baking dish. Cover the flan with foil to prevent a skin forming on top, if you like.
Set bowl into the water bath and bake in the preheated oven until until flan has set but still jiggles slightly when moved, 45 minutes to 1 hour. Allow flan to cool to room temperature, then remove foil, and place flan in the fridge to chill, about 2 hours.
Run a knife around the edges of the flan to loosen from dish; turn flan onto a rimmed serving plate to release custard and let caramel sauce flow over the flan.