Rinse and halve the peppers. Wipe dry, and finely dice. Add the peppers to a saucepan. Rinse the oranges in hot water, pat dry, and remove the zest in strips. Squeeze the juice from the oranges. Add the juice, zest, vanilla bean, cloves, and sugar to the peppers. Let marinate together for 2 hours.
Add the apple juice and bring to a boil, stirring constantly. Cook for 5 minutes until the jam begins to thicken. Remove the vanilla bean, and fill the prepared jars with the jam. Seal tightly and cool completely.