Preheat oven to 325°. Place the oranges and bread cubes in a 1-quart casserole dish; set aside.
To make the custard, combine the sugar, cornstarch, and salt in a saucepan. Blend in egg yolks and 1/4 cup of the milk. mix in remaining milk stir and cook over very low heat until the custard coats metal spoon and is slightly thick (about 10 minutes).
Add butter, orange peel, and vanilla; pour into casserole over the oranges and bread cubes. Place pan in hot water going 1/2 way up outside of casserole dish and bake at 325°F for 1 1/2 hours or until the pudding is firm in the center.
Cover with meringue.
For meringue, beat egg whites until they stand at soft peaks. Gradually beat in the sugar. Add the vanilla and spread over the cooked bread pudding.
Return the pan to the oven and back into the pan of hot water. Bake 20 minutes or until the meringue is brown. Serve warm.