I've been considering making an orange pie - but something generally closer to e.g. an apple or pear pie than a key-lime. Something with distinct slices, not a custard(-ish) filling. From a cursory search, though, I can't find anything of the sort - no baked slices or chunks of any citrus. Is this a thing that can reasonably be done?
Try searching for shaker lemon pie. You can also find a couple recipes for "shaker orange pie" but the lemon version is the more common one.
It definitely works well with lemon. If the recipes specifically with orange don't work out, you could also try starting with a shaker lemon pie recipe, replacing the lemons with oranges, then adding lemon juice and reducing the sugar to rebalance the sour and sweet. (I don't think you can just cut the sugar really drastically; there's generally enough of it to contribute to the texture, not just sweetness.)