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Cut off the top third of each apple. With a small knife, and working from the top of each apple, carefully carve out a large "bowl," including the core, about 2 inches in diameter. Rub the cut part with lemon and put the apples into a 9-inch square baking dish. Dice the carved-out parts of the apples, without the seeds, and set aside.
Melt the butter in a small saucepan, and then whisk in 4 tablespoons of the muscovado sugar, the cinnamon and pepper and cook until smooth. Brush the inside of the apples with the butter mixture. Pour the apple cider into the bottom of the baking dish. Cover the dish with foil and bake until the apples are tender, about 30 minutes. Remove the foil and bake for 5 minutes longer.
Transfer the apples to a platter. Carefully strain the cooking liquid into a small saucepan and bring it to a boil. Cook until it is reduced and thickened, about 5 minutes.
While the apples are baking, stir the hot milk, remaining muscovado sugar, reserved chopped apples and orange zest into the warm oatmeal and cook for a few minutes. Divide the oatmeal among the baked apples. Top each apple with a dollop of yogurt and drizzle the reduced cider over the top.