In a medium heavy saucepan, combine the milk with 1 2/3 cups of water and the strips of orange and lemon zest. Bring to a boil over moderate heat. Stir in the rice and simmer over low heat, stirring occasionally, until tender, about 30 minutes. Let cool and remove the citrus zests.
Meanwhile, preheat the oven to 375°. Generously butter a 12-by-8-inch glass baking dish and coat it with bread crumbs.
In a medium bowl, gently whisk together all of the remaining ingredients except the confectioners' sugar. Stir in the cooled rice mixture and transfer to the prepared baking dish; spread it evenly. Bake for 45 minutes, or until golden brown and set. Let cool for 1 hour. Dust the cake lightly with confectioners
This luscious cake calls for a dessert wine, such as a not-too-sweet Vin Santo. Look for Castello di Ama or Antinori.