Gently heat the marmalade and water together in a pan, stirring until the marmalade has melted.
Allow to cool, then mix with the orange zest, oregano, garlic, cayenne and oil.
Rub the marinade into the lamb.
Place into a strong plastic bag, and place the bag into a bowl.
Pour the cola around the meat.
Tie the top of the bag securely. NB If you were to place the meat in a bowl there would not be sufficient cola to cover the meat, so pouring the cola in the bag means that you can massage and turn the meat easily while it is marinating in the fridge. Marinate for at least two hours.
Remove the meat from the fridge about half an hour in advance. Remove from the plastic bag just before cooking.
Place lamb on the pre-heated barbecue and grill for about 1 hour or until tender.
Allow to rest for 15 minutes, then carve and serve.
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