How to Make It
Stir together orange wedges, 2 cups sugar, and 1/2 cup water in a medium bowl until combined. Cover and let stand at room temperature 8 hours or overnight.
Transfer orange mixture to a medium saucepan. Add mustard seeds, fennel seeds, thyme bundle, bay leaves, remaining 1 cup sugar, and remaining 1 cup water; stir to combine. Bring to a boil over medium-high. Boil, stirring occasionally, until liquid becomes syrupy and orange wedges become translucent, about 1 hour and 30 minutes. Remove from heat; let cool completely, about 1 hour. Remove and discard thyme bundle and bay leaves. Store, covered, in refrigerator up to 2 weeks.