In a medium heavy saucepan stir together sugar and cornstarch; stir in milk. Cook and stir over medium until thick and bubbly. Cook and stir 2 minutes more. Remove from heat.
Gradually stir about 1 cup of the hot mixture into egg yolks; return to the remaining hot mixture in saucepan. Bring just to boiling; remove from heat. Stir in orange zest and vanilla. Pour into a serving bowl or dessert bowls and cover surface with plastic wrap; cool slightly. Chill at least 4 hours before serving; do not stir.
Top custard with crushed cookies and, if desired, orange slices and/or twists.
Tip: We do not recommend a sugar substitute for this recipe.