Set aside 1 cup (about 250 ml) of the milk. Pour the remaining milk into a saucepan with the orange peel, lemon peel, and cinnamon stick. Heat until it comes to a boil, then cook for 5 minutes. Remove from heat and take out the peels and cinnamon stick.

In another bowl, mix the cornstarch, flour, sugar, and egg with the reserved cold milk. Pour this flour mixture into the hot milk, stirring constantly.

Return the saucepan to the heat and cook, stirring constantly, until the mixture thickens. This should take about 10 minutes.

Lightly brush a dish with a little oil and pour in the mixture, spreading it to about 3/4 inch (2 cm) thick. Let it cool, cover with plastic wrap, and refrigerate until firm enough to cut into squares.