1. Grate the zest from the oranges, and set aside. Slice off the stem end of the oranges. Place the fruit on a work surface, cut side down; using a sharp knife, cut away the peel and white pith, in a single curved motion, from end to end. Working over a bowl to catch the juices, use a paring knife to slice carefully between the sections and membranes of each orange; remove the segments whole. Squeeze the membrane to release any remaining juice before discarding. Set aside the segments and juice.

2. Preheat the oven to 400 degrees. Fold four 18-inch lengths of parchment paper in half, cut into a half-heart shape, and open. Lay the fillets on a work surface, skinned side up, and top each with a layer of arugula leaves. Season with half the salt and pepper, and roll up tightly. Place one fillet seam side down on each length of parchment paper near the crease. Combine the orange zest, juice, and segments; olive oil; oregano; and remaining salt and pepper. Spoon the dressing with segments over each fillet. Fold the other half of the parchment over the ingredients. Make small overlapping folds to seal the edges, starting at the top of the heart. Two inches from the end, twist the parchment twice, gently but firmly, to seal.

3. Place packets on a rimmed baking sheet or in a heavy skillet (preferably cast iron); bake 25 to 30 minutes or until fully puffed. Remove from oven; open carefully. Transfer fillets to a plate; spoon cooking liquid and orange segments over.