Preheat the oven to 350 degrees F (180 degrees C).
For the burnt oranges: Lay the orange slices on a parchment-lined baking sheet. Drizzle with honey, making sure to cover them. Sprinkle with the confectioners' sugar and cayenne, and season with salt. Bake until the oranges are charred and slightly translucent, flipping halfway through, about 35 minutes. Let cool.
For the cocktail: Place one burnt orange slice in a glass and add ice. Pour in the Campari, vodka and orange juice. Top with club soda. Garnish with another burnt orange slice.