In a heavy gauge saucepan place the rice, milk, sugar and vanilla bean(seeds scraped out and pod added as well),pinch of salt, orange zest and liqueur. Bring mixture to a boil, stirring frequently.
Once boil is achieved, lower temperature to simmer and cook, stirring frequently, until rice is tender and mixture has thickened. About 30-40 minutes.
While rice is cooking, whisk egg yolks in a bowl and after rice is done ladle in 1/2 cup of the rice pudding, whisking.
Pour the egg mixture into the pot. Stir constantly for a couple of minutes longer. Mixture should be a beautiful creamy texture. Remove from heat and take out the vanilla bean pod. Allow to cool to room temperature.
Serve at room temperature or chilled in decorative pudding cups.