Combine milk and orange zest in a medium saucepan; bring just to a boil. Remove from heat; let steep 10 minutes.

Meanwhile, combine egg yolks and sugar in the bowl of an electric mixer fitted with the whisk attachment. Beat on medium high until the mixture is pale yellow and thick, about 5 minutes. Turn off machine. Sift in cornstarch; beat on medium low until combined, scraping down sides of bowl with a rubber spatula.

Fill a large bowl with ice and water; set aside. Bring milk just to a boil. Whisking constantly, slowly pour half the hot milk mixture into egg mixture; whisk until smooth. Pour mixture back into saucepan with remaining hot milk. Set over medium-low heat, and whisk until the mixture thickens, 7 to 10 minutes.

Strain mixture into a large bowl. Stir in vanilla, Grand Marnier, butter, and cream. Place bowl over the ice bath, stirring occasionally until chilled. Cover surface of pastry cream with plastic wrap to keep a skin from forming; let chill overnight or at least 1 1/2 hours before using.