Grate zest from oranges. In a large mixing bowl, combine zest with cheese, cream, sugar and 1 tbsp. honey. Using an electric mixer, beat until soft peaks form; set cheese mixture aside. Using a sharp knife, cut about 1/2" from both ends of each orange, exposing the flesh. Set the fruit on one end and slice off strips of peel and white pith using a steady downward motion while following the curve of the fruits. Slice each orange into 7-8 thin rounds, then cut rounds into quarters. Spoon filling into fillo shells; top with orange pieces. Drizzle with remaining honey and sprinkle with pistachios. Serve immediately.
Good to Know: Tangerines and blood oranges work in this recipe, too.