Move oven rack to lowest position (remove other racks). Heat oven to 350°F. In extra-large glass or metal bowl, beat cake mix and cold water with electric mixer on low speed 30 seconds. Beat on medium speed 1 minute. Pour into ungreased 10-inch angel food (tube) cake pan. (Do not use fluted tube cake pan or 9-inch angel food pan or batter will overflow.)
Bake 37 to 47 minutes or until top is dark golden brown and cracks feel very dry and are not sticky. Do not underbake. Immediately turn pan upside down onto glass bottle until cake is completely cool, about 2 hours.
Meanwhile, in 2-quart saucepan, beat egg yolks, sugar, cornstarch, orange juice and salt with wire whisk until blended. Add butter; cook 2 to 3 minutes over medium heat, stirring frequently, until boiling. Boil 3 to 5 minutes, stirring constantly, until thickened and mixture coats the back of a spoon. Immediately pour orange mixture (orange curd) through fine-mesh strainer into medium bowl. Cover with plastic wrap, pressing wrap directly onto surface of orange curd. Refrigerate about 1 hour or until completely chilled.
In medium bowl, beat whipping cream on high speed until stiff peaks form. Fold whipped cream and grated orange peel into orange curd.
On serving plate, place cake with browned side down. Cut off top 1/3 of cake, using long, sharp knife; set aside. Scoop out 1-inch-wide and 1-inch-deep tunnel around cake. Set aside scooped-out cake for another use. Spoon 1 1/3 cups orange cream into tunnel. Replace top of cake to seal filling. Frost top and side of cake with remaining orange cream. Refrigerate at least 2 hours before serving. Garnish with orange twists. Store covered in refrigerator.