How can a Bavarian cream that includes orange juice thicken with so much liquid? I found a recipe for an orange flavored Bavarian cream with the following directions. 

Start with a crème anglaise by whisking egg yolks and sugar and then add boiling milk flavored with orange zest. Put the mixture back on the heat and -- here comes the fishy part -- add fresh orange juice and let everything thicken.

Then it continues to add softened gelatine, let cool and add whipped cream. But this makes sense.

How is a mixture so liquid supposed to thicken? Is this the right procedure to make a flavored Bavarian cream?
The egg yolks can thicken the liquid when you heat it, like in a standard egg custard (the home made version, not the one made from custard powder). But this is a fairly tricky procedure: if you heat it too much the mixture will separate. So best done on a double boiler ('bain marie').

And in addition, you have the whipped cream and the gelatine, which will help thicken the mixture on cooling*. I suspect that there's also a prescribed time in the refrigirator...

(*: as I've been taught, the swollen gelatine is first dissolved in a small amount of liquid, and the whipped cream is mixed with the rest when the gelatine just starts to set)