1. Remove peel from all fruit, being careful to remove only the colored part from the lemon, and slice the peel thinly, using scissors or a sharp knife. Place slivers in a small non-reactive pan with the water, bring to a boil. Reduce heat, cover, and simmer 20 minutes.
2. Remove and discard white pithy rind and seeds from the lemon. Chop orange and lemon pulp finely in a food processor or with a sharp knife.Add to the saucepan, return to a boil, reduce heat, cover, and simmer 20 minutes.Add sugar to mixture, return to boil, and boil rapidly, uncovered, until mixture forms a gel, about 10 minutes, stirring frequently. Remove from heat.
3. Ladle into hot jars and process 10 minutes in a boiling water bath.