In a medium heatproof bowl, place a fine-mesh sieve.

In a small saucepan, whisk together condensed milk, egg yolks, lemon zest, orange zest, and salt.

In a small bowl, whisk together 2 tablespoons (30 grams) water and cornstarch until smooth and well combined; whisk into condensed milk mixture. Cook over medium heat, whisking frequently, until thickened and beginning to boil. Cook, whisking constantly, for 1 minute. Strain through prepared sieve into bowl. Cover with a piece of plastic wrap, pressing wrap directly onto surface of custard to prevent a skin from forming, and let stand at room temperature until ready to use.