pre-made cinnamon roll
Take a large orange and slice it in half along its equator. Scoop out the halves of the orange, keeping the skin intact. Place a pre-made cinnamon roll (the ones in the tube) into one of the orange halves. Replace the other half of the orange skin and wrap the whole thing in foil (or a couple of pieces of foil). Place the foil balls into hot coals for 10 minutes, turning once during cooking. The cinnamon roll will cook, picking up the flavor of the orange.
Note: the scooping of the orange may be easier to do at home.