During one of the early episodes (don't remember which) when Lelouch is rescuing Suzaku, he calls Jeremiah "orange" in reference to some supposed incident in the past. And the name stuck, because, well, y'know, everyone started whispering behind his back, and it's amusing ^-^ Orange-kun~
in the situation during which Lulu rescued Suzaku, in order to cover up the fact that he had geass-ed Jeremiah, he distinctly said the word "orange," which everyone assumed was some sort of codeword, since after that Jeremiah obeyed Zero.
Adding to the above answers, I remember one of the characters asked Zero whether Orange has a meaning (perhaps it was C.C, I forgot) and Lelouch answered that it has no particular meaning. He only said that to confuse the Britannians.
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Orange-kun~
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