In a small saucepan, heat cream and milk over medium-low heat until just simmering.
Meanwhile, pour Grand Marnier into a small saucean; bring it to a boil over medium-high heat and cook for 3-4 minutes to burn off the alcohol. Stir in orange juice and zest. Let liquid return to a boil until reduced by about half, 4 minutes. Whisk orange mixture into pan with cream and milk.
in a bowl, whisk together egg yolks and sugar. Whisk orange-cream mixture into yolks, a little at a time to avoid cooking eggs. Pour resulting mixture through a fine-mesh strainer into a small pitcher or measuring cup.
Set aside and let cool for about 15 minutes. Divide mixture among 4 ramekins and place them in a roasting pan. Por hot water into pan until it comes halfway p the sides of the ramekins.
Cover pan with aluminum foil and bake pots de crème until set but still a little wobbly when you gently shake them, 30-35 minutes. Remove ramekins from roasting pan with tongs or pot holders and let them cool for about an hour at room temperature. Refrigerate pots de crème for at least 2 hours or overnight before serving.