Cut a pocket into one side of each slice of bread, leaving the other sides of the bread intact. In each pocket, spoon 2 heaping teaspoons of preserves and 2 teaspoons of ricotta. Press the bread back together to encase the filling. Set aside.
Preheat an electric skillet to 350 F, according to manufacturer's instructions.
In a shallow, medium-sized bowl, whisk together the eggs, milk, heavy cream, sugar, vanilla, salt and orange zest until combined. Dip each bread slice into the custard and turn over to thoroughly soak each side. Remove from the custard and let the excess drip back into the bowl. Place bread slices on a plate and set aside. Repeat with the remaining slices.
Brush the surface of the electric skillet with softened butter. Arrange the soaked bread slices onto the surface of the electric skillet and cook until golden brown and crispy, 3 to 4 minutes each side. Sprinkle with powdered sugar and serve immediately.
Makes 4 to 6 servings.