I am trying to figure out whether you intend to juice the oranges for "homemade" gelatin, or if they're just for slices in the jello.
If just slices here's a recipe that seems to be rated well:
http://www.recipezaar.com/96460
I found that doing a google search on "creamsicle jello" which sounded like what you might be going for. Beware though, the first few finds are for a sugar free version, probably not what you're looking for.
If you want some gelatin education, the Good Eats "Deep Space Slime" was an excellent episode about gelatin. You can read the transcript at:
http://www.goodeatsfanpage.com/GEFP/index.htm
On the left you can pick episode by title, find it then click on the transcript link.
Sounds to me, that panna cotta is using evaporated milk and cream.
He uses sour cream or mayo to "make his heart opaque" - it was kinda a Halloween episode.
As for the orange juice, seems like you'll need 2 packets or 4 teapsoons powdered gelatin per cup of juice.
My grandmother used to make a creamy jello by dissolving 1/3 a 1/2 gallon pack of vanilla ice cream into the still hot dissolved jello. Just another ingredient that might work.
Well, I hope this helps.
Nancy