Fill a large bowl with ice water.
Bring a large pot of well-salted water to a boil over high heat and cook the asparagus until al dente (3 to 4 minutes, depending on size).
With tongs, transfer the asparagus to the ice water to chill quickly.
Drain, pat dry and refrigerate until needed.
In a small saucepan over medium heat, combine the orange zest and juice and reduce by half, about 2 minutes.
Cool to room temperature.
In a food processor with a metal blade, combine the egg yolks, salt, Dijon mustard, pepper, cooled juice and zest mixture and two tablespoons of the lemon juice. Pulse until combined, then let set for 3 minutes.
With the motor running, add the grapeseed oil and olive oil through the feed tube in a slow, steady stream. Add the ¼ cup orange juice and remaining two tablespoons of lemon juice and pulse to blend.
Taste for salt and pepper.
Arrange the chilled asparagus on a serving dish.
Serve the mayonnaise in a small bowl for dipping or drizzle over the asparagus.