How tough is it juice them and make orange juice that can be sold (to Spanish or EU standards)? I would think you could start small and grow over time.
Maybe store-shelf product such as gummies or something?
Fresh juice takes 2kg of oranges per ~1l/~1kg. Plus electricity and handling costs...
Still, you'll need a large multiplier on the transformation process: organic EU orange are 1.7€/kg, standard are 1€ wholesale market price (meaning its origin is continental spain or italy I guess). Frozen orange juice is 3.93€ (Brazil)
And despite the logistical challenges you cite, lemons imported from places like Argentina are now cheaper to buy at Palma's wholesale market than the average wholesale price paid for local fruit, which has subsequently plummeted even further.
Pick the oranges in the middle of the island: not cheap, as stated. Squeeze & freeze the juice (likely around Palma): not cheap, not even including transportation. Ship them back to the continent: probably not cheap either.
Transshipment is extremely costly and even more so at a smaller scale, and that's what we're comtemplating here.