Preheat the oven to 180 degrees C. Use a citrus zester to take fine pieces of zest from half of the orange, or thinly remove the zest with a vegetable peeler, then cut it into thin pieces. Cut the orange in half and squeeze the juice from both halves into a small jug.
Peel the bananas, slice them lengthwise and lay them in a shallow ovenproof dish. Pour over the orange juice and rum or brandy, if using. Sprinkle with the sugar and scatter with the butter and orange zest.
Bake for 10–15 minutes until the bananas are just lightly cooked and the sauce is syrupy. Serve immediately.