Combine sugar and cornstarch in a medium saucepan. Stir in water, orange juice, rind, lemon juice, and egg yolks. Bring mixture to a boil over medium-high heat. Cook until thick (about 2 minutes), stirring constantly. Remove from heat; stir in vanilla. Cover and chill at least 1 1/2 hours or up to 2 days. Stir well before using.