For the orange cocktail sauce, grate the peel from the orange. Then peel the orange so that all the white skin is removed and fillet it, collecting the juice. Mix mayonnaise with ketchup, orange juice, some of the zest, salt and freshly ground pepper, cane sugar and cayenne pepper to taste or desired spiciness.
Dice the orange fillets and fold them in. Serve the orange cocktail sauce garnished with remaining orange zest.