For the peaches, gently heat a small ovenproof frying pan. Add the orange and lemon zests and sugar. Heat together until the sugar has melted and turned golden brown.
Add the peach to the pan, skin-side down, then add the vanilla seeds and pod. Transfer to the oven to bake for five minutes.
Remove the peach pan from the oven and turn the peach over. Carefully pour off the pan juices into a clean saucepan. Add a small amount of boiling water and simmer for 3-4 minutes to reduce to a thick sauce.
Meanwhile, for the sabayon, place the yolks, wine and sugar into a glass bowl and place over a saucepan of barely simmering water. Whisk continuously for ten minutes to avoid the yolks curdling.
Add the lemon zest, stir well and pour into a tall dessert glass.
Top with the roasted peach and pour over reduced juices. Dust with icing sugar and garnish with the mint to serve.