Omitting the vinegar used in traditional hollandaise and using citrus juice instead turns out a creamy sauce that is sweeter than the original.
Combine orange and lemon juices in a bowl. Whisk together egg yolks and 2 tablespoons water in a heatproof bowl set over a pot of simmering water until mixture foams and begins to thicken, about 1 minute. Add half of citrus juices and cook, whisking constantly, until thickened slightly, 1 to 2 minutes more.
Puree yolk mixture, remaining citrus juices, lemon zest, vinegar, 1/4 teaspoon salt, and cayenne in a blender until mixture thickens. With blender on low speed, add butter in a slow, steady stream until combined. Serve warm. Sauce can be stored in refrigerator in an airtight container up to 1 day. Gently warm before serving.