Citrus Red No. 2 - don't eat or zest orange peels
Citrus Red No. 2 is a food dye used in the US to color the peel of oranges to make them more orange. It listed as a class 2b carcinogen by the International Agency for Research on Cancer due to having shown carcinogenic activity in rats and mice and is not recommended for use as a food additive by the WHO Committee on Food Additives. While Citrus Red 2 is permitted for use on orange peels by the FDA, its use is banned in the EU.
Last year the FDA announced they are "initiating the process to revoke authorization for two synthetic food colorings—Citrus Red No. 2 and Orange B—within the coming months." So as of right now, it is still legal to spray oranges with carcinogens.
Organic oranges and orange produced in California and Arizona are safe to eat as both states banned Citrus Red No. 2.