Soak the gelatine in cold water for about 15 minutes. Squeeze the oranges and bring the juice with the orange peel and sugar to the boil. Squeeze out the gelatine, add it and dissolve it. Add the marzipan and stir with the mixer until foamy.
Let cool and stir in the yogurt. When the mixture becomes thick, add the whipped cream. Leave to set in the refrigerator overnight.