Preheat oven to 350°.
Zest both oranges with a grater or zester and set aside, reserve 1 tablespoon of orange zest for garnish. Peel both oranges with a sharp knife and remove all segments free of seeds and pulps in a bowl. Reserve 1 tablespoon of fresh orange juice.
In a large bowl, mix yogurt, orange zest, 2 tablespoons of confectioner's sugar, and 1 tablespoon of fresh orange juice. Add more sugar to taste.
Pour the orange segments with juice in a zip lock bag and mix in the Cointreau and refrigerate.
In a small cup combine the granulated sugar with cinnamon and set aside.
Melt the butter and set aside.
Place two sheets of phyllo dough on top of each other and trim the dough into a perfect square. Separate the dough and place side by side.
Brush the first sheet with melted butter then sprinkle with cinnamon sugar. Flip dough and repeat the process.
Butter the second sheet and place the buttered side on top of the first. Butter the top of the second sheet and sprinkle with cinnamon sugar.
Cut the dough into 4 equal parts, cut each square into triangles, making a total of 8 triangles.
Place triangles on a baking sheet and bake for 2-3 minutes or until golden brown. You can store any extra baked triangles for another dessert or to serve with ice cream.