No, orange wine is not made from oranges. It’s a type of white wine made from white grapes so the term can be misleading. The grape juice is left in contact with the skins of white grapes during fermentation. The duration of skin contact can range from a few days to a few years!
This colour deepens over time due to oxygen contact, similar to how an apple slice turns brownish when exposed to air. The resulting wine is orange or amber in colour, partly due to exposure to oxygen. Wondering how oxygen affects this, same logic as a cut apple turns brownish when left outside for a while!