Rinse the oranges, slice off the tops and carefully scoop out the flesh. Squeeze the flesh through a fine mesh sieve and reserve the juice.
Combine the reserved juice with the freshly squeezed orange juice, sugar and rice pudding. Transfer the mixture to a shallow dish and freeze for about 4 hours, stirring vigorously with a fork every 30 minutes to prevent large ice crystals from forming. Freeze the orange shells for about 1 hour before serving. Quickly mix the sorbet with an immersion blender before serving. Scoop the sorbet into the frozen orange shells, garnish with lemon balm and serve immediately.