Crack the egg yolks into a large stainless steel bowl. Add the sugar and whisk until pale and slightly thickened, about 2 minutes. Add the wine and orange zest. Set the bowl over the boiling water and whisk constantly over moderately low heat until the sabayon is thick and has doubled in volume, about 8 minutes. Immediately set the bowl in the ice water bath and let cool, stirring occasionally, about 15 minutes.