When I was a child, my mother made orange cake every time we went camping. She would scoop out an orange, fill it with (I think) white jiffy cake mix, wrap it in foil and put it it the campfire to bake. They were wonderful!
You could probably do this with any cake mix. Foil is nice (keeps ash out), but apparently not necessary unless you are worried about burning the bottom of the orange cups. Follow the directions on the package for the cake batter and do like below:
Gingerbread Cups Halve and clean inside of oranges out. Prepare a package of gingerbread mix, fill cups 3/4 full.
Place cups in a bed of coals, not too hot. Bake slowly, turning around from time to time.