Cut oranges and lemon into paper-thin slices, and remove the seeds. Cut all but 4 slices of the lemon and 4 slices of the orange into eighths. Place the rings and slices into a plastic container; add sugar, mix gently, and refrigerate overnight.
On a lightly floured surface, roll out dough to 1/8 inch thick; drape over a 10-inch pie pan. Create decorative edge as desired. Refrigerate 30 minutes, or until chilled.
Heat oven to 400 degrees. Drain fruit, reserving syrup. Separate whole slices from cut pieces, and set aside.
Combine whole eggs and citrus syrup in the bowl of an electric mixer fitted with the paddle attachment; beat on medium high until pale yellow and fluffy, 5 minutes. Remove from mixer; stir in orange and lemon eighths. Pour into shell; top with reserved fruit slices.
In a small bowl, mix egg yolk and cream. Using a pastry brush, gently brush dough edges with egg-yolk mixture. Place pie on a baking sheet; bake 15 minutes, then reduce heat to 350 degrees. continue to bake 35 to 40 minutes more, until pie is set. Let cool completely on a wire rack, 2 to 3 hours. Serve with compote.
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