|MadSci Network: Botany|
The liquid in the orange peel contains a chemical called limonene. Limonene is not flammable unless it is mixed thoroughly with air in the form of a spray. Therefore, if you squeeze the peel directly into the flame you will get sparks, but if you collect a small amount of the liquid in a cup, it will not combust.
Also see Re: fire by Ken Johnsen
Try the links in the MadSci Library for more information on Botany.