First make the custard: Put orange and lemon zest, cream and milk into a small saucepan and bring to the boil then remove from the heat. In a bowl whisk the egg yolks, sugar and the two flours together. Pour the cream on to the egg mixture and mix it well with the whisk.
Return to the pan and cook gently over a low heat for a few minutes, stirring constantly, especially in the corners, with a wooden spoon until the custard thickens (but don’t let it boil). Remove the custard from the heat and give it a final mix with a whisk, transfer to a clean bowl and stir in the Cointreau. Cover the surface of the custard with cling film to prevent a skin forming then leave to cool.
Cut the top and bottom off the oranges with a small serrated knife then carefully cut away the skin and pith to reveal the flesh. Cut them into segments over a small saucepan to catch any juice and squeeze out the remaining bits once segmented. Put the segments in a small bowl then repeat with the two lemons. Add the sugar and the rest of the Cointreau to the pan with the juice and bring to a simmer. Dilute the corn flour in a little water and stir into the juice and continue simmering for a minute until the sauce thickens, then leave to cool a little and pour over the orange and lemon segments.
Pre-heat the oven to 180°C/Gas mark 5. Make medium sized 4 pancakes with the batter as described above. Clean a mixing bowl and whisk with boiling water to remove any traces of fat then whisk the egg white until stiff and carefully fold into the custard. You can use an electric hand whisk for this if you wish.
Place a couple spoonfuls of the custard mix just off the centre of each pancake, then fold in half and place on to a baking tray. Cook in the oven for about 5-6 minutes. Transfer on to warmed plates and spoon the orange sauce over.