Preheat the oven to gas 5, 190°C, fan 170°C, or wait until the embers of the fire are white hot. Grate the zest from 1 orange, then horizontally slice the top third off the other 8 oranges.
With a small serrated knife, cut out the inside of each orange and then scrape out all of the flesh with a teaspoon (keep this to use in a fruit salad). Squeeze the juice from all of the orange lids into a bowl and discard the rinds. Pour the lemon juice and enough orange juice into a jug to make 90ml (3¼fl oz).
In a bowl, beat the sugar and butter until fluffy and light. Beat in the egg yolks one by one. Stir in the flour and milk, then the orange and lemon zest and the juice, until just combined. In a separate bowl, whisk the egg whites with a pinch of salt to form stiff peaks. Fold one big spoonful into the egg yolk mixture to lighten, then fold in the rest of the whites.
Cut 8 20x20cm (8x8in) foil squares, buttering one side of each. Put a hollowed orange on the buttered side of each piece of foil, then spoon the batter into the oranges. Wrap in foil, keeping upright, and sealing the edges to make a secure but loose parcel. Cook for 20 minutes in the oven, or nestled in the embers of the fire. Open carefully and serve.