Slice the orange segments in half. This step is optional but it will help the oranges breakdown faster while the jam is cooking.
Add the orange segments, zest, and sugar to a large skillet and stir together. Allow to sit at room temperature for 15 minutes, stirring a few times. Add in the Grand Marnier and lemon juice.
Place the skillet over medium heat. As the oranges heat up and begin to simmer they will release quite a bit of liquid. Continue cooking for 35-40 minutes, stirring periodically. As the liquid begins to reduce and thicken, stir more frequently to avoid burning the jam.
Once the oranges are completely broken down and the remaining liquid is a thick syrup, remove from the heat. Allow to cool and then chill in the refrigerator.
If desired, the Grand Marnier can be omitted from the recipe for an alcohol-free jam.