Soak gelatine in cold water. Bring the orange peel, cream, sugar and vanilla sugar to the boil in a saucepan and simmer for about 10 minutes.
Pour orange cream through a fine sieve into a bowl. Squeeze the gelatine and dissolve in the hot orange cream. Stir in the cognac.
Spread the orange cream over four glasses (approx. 175 ml each), cover and chill for at least 4 hours, preferably overnight. Before serving, infuse each panna cotta with a hot espresso.