Add about an inch of water to a saucepan. Set it over medium-low heat so that it reaches a gentle simmer. Place a heatproof bowl on top and make sure the bottom does not touch the water.
Add the egg yolks, sugar, and Marsala wine to your bowl. Whisk until combined.
Continue whisking for about 10 minutes or until the mixture thickens and triples in volume. It should turn a golden yellow and have the consistency of loose pudding. Remove the bowl from the heat.
Whisk in the orange zest and vanilla, then let the zabaglione cool to room temperature, about 15 minutes.
In a separate bowl, whip the heavy cream until soft peaks form.
Gently fold the whipped cream into the zabaglione. The mixture should turn light and smooth.