Some pronounce it like "O-ran-schen", some like the French word for "Orange". If you have problems how to pronounce it, you can say: "Apfelsinen". That's the genuine German word for Orange and so you are always on the right side of spelling German. :-) Good luck!

"or-AN-j-uh" is close enough. Some people use the French nasal, but still pronounce the ending, so it's not the correct French pronounciation. It's an important foreign word that is not fully assimilated, so the pronounciation varies. BTW, the Duden has IPA pronounciation and audio for cases like these were the pronounciation is not obvious: http://www.duden.de/rechtschreibung/orange