Raising mice, I gave pregnant ones a whole orange a week or so before they were due. They'd clean it out and use the shell as a nest. Helped neutralize smells and mites and was incredibly cute.
Did you give them a whole orange without cutting the top off, for example, you just put a whole unpeeled orange in the cage and they chewed off part of the peel, but not too much, so they could crawl inside the shell? Any pictures?
Whole orange, they'd cut themselves a porthole. No pics, alas.