Using small paring knife, make zigzag cut around center of each orange, cutting orange in half; pull halves apart. Using grapefruit spoon or small paring knife, remove orange segments; place in resealable food-storage plastic bag, and save for another use.
In 1-quart saucepan, heat beans and salsa over medium-high heat, stirring constantly, until hot. Spoon bean mixture into orange shells.
Spoon about 1 tablespoon cheese on top of each. Place on microwaveable plate; microwave on High 1 to 2 minutes or until cheese starts to melt.