Using a sharp knife, carefully remove the duck skin and discard it.
Combine the orange zest, ginger, lemon zest, garlic, coconut aminos, sherry (if using) and sesame oil in a medium bowl. Add the duck breasts and turn to coat. Cover and refrigerate at least 2 or up to 6 hours.
Remove the duck from the refrigerator and let it stand at room temperature for 10 minutes. Meanwhile, heat a grill pan over medium heat until hot.
Wipe off excess marinade and place the duck on the hot pan. Cook, turning once, until an instant read thermometer inserted into the thickest part of the breast registers 140, about 5 minutes per side. Transfer to a cutting board and let stand for 3 minutes before slicing.