Sprinkle the gelatin over the sherry and set aside to soften. Stir enough of the milk into the cornstarch to make a slurry; reserve.
Combine the remaining milk, the cinnamon stick, and the orange zest in a heavy saucepan. Bring to a boil. Remove from the heat and let the mixture infuse for 30 minutes.
Thoroughly whip the egg yolks and sugar together.
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