Finely grate peel from orange to measure 1 teaspoon. Cut orange in half widthwise; cut a thin slice from each half. Quarter slices and set aside. Juice the orange to measure 1/4 cup.
Loosen skin around hen breasts and thighs; place orange slices under the skin.
Place hens in a greased 13-in. x 9-in. baking dish. Sprinkle with salt and pepper. Bake, uncovered, at 350° for 40 minutes. Meanwhile, in a small saucepan, combine the wine, jam and orange juice. Bring to a boil. Reduce heat; simmer, uncovered, for 6-8 minutes or until slightly thickened. Stir in mustard and orange peel.
Set aside 1/2 cup sauce for serving; brush remaining sauce over hens. Bake hens 10-20 minutes longer or until a thermometer reads 180°, basting occasionally with pan juices. Warm reserved sauce; serve with hens.