Whip sugar, cinnamon, egg whites and saffron together until very stiff.
Mix egg yolks with a little bit of stiff egg whites, vanilla sugar, grated orange, and sifted flour well and fold into the remaining egg whites.
Fill a gratin dish finger high with milk and fold in a little sugar. Place large dumplings of the saffron mixture in the prepared baking dish. Cook in the oven at 180 °C for about 5 minutes.
For the fruit sauce, boil orange juice with sugar and orange peel. Cool down a bit and pour in the citrus fruits. Steep briefly.
Sprinkle dumplings with powdered sugar and serve with fruit sauce.