Preheat the oven to 180°C/350°F/gas 4. First make your flavoured butter by mixing the butter with the nutmeg, cinnamon and orange zest. Use a little of it to butter a medium-sized shallow, ovenproof dish. Butter the bread using the flavoured butter, then cut each slice in half diagonally. Put the slices in your buttered dish. Now separate the eggs, reserving all 9 yolks but just 1 egg white. Whisk together the egg yolks and egg white with the sugar, then gently heat the milk and cream in a saucepan with the vanilla seeds and pod. Pour into the eggs, stirring all the time. Remove the vanilla pod then pour the mixture over the bread and leave to soak for at least 20 minutes. Put the dish in a roasting tray and pour in enough boiling water to come halfway up the side of the dish. Then put it in the preheated oven for about 45 minutes until the custard has just set. Meanwhile, gently warm the marmalade in a saucepan, then remove the dish from the oven and brush the marmalade over the top of the bread. Pop the dish back into the oven for another 5 to 10 minutes. Allow it to cool and firm up slightly before serving.